We document a striking change in index return serial dependence across 20 major market indexes covering 15 countries in North America, Europe, and Asia. While many studies found serial dependence to be positive until the 1990s, it switches to negative since the 2000s. This change happens in most...

We examine 24 global factor premiums across the main asset classes via replication and new-sample evidence spanning 217 years of data. Replication yields ambiguous evidence within a unified testing framework with methods that account for p-hacking. The new-sample evidence reveals that the large...

We develop a novel real-time metric of macroeconomic surprises across hundreds of macroeconomic series. Economic surprises display sizable short-term autocorrelation, driven by predictable errors in consensus forecasts. The resulting 'economic surprise momentum' is present across all major...