The nature of the relation between stock returns and the three monetary variables of interest rates (bond yields), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation changes over time, and this variation is largely driven...

This paper examines the predictability of a range of international stock markets where we allow the presence of both local and global predictive factors. Recent research has argued that US returns have predictive power for international stock returns. We expand this line of research, following...

This paper links variation in the predictive regressions for stock returns, dividend growth and consumption growth to economic and market factors. The nature of these links can reveal whether movement in asset prices occurs primarily through the discount rate or cash flow channel, while they...

This paper examines the relationship between consumption growth and the stock market for the G7 markets primarily using panel estimation techniques. We consider whether consumption growth is affected by stock returns and the dividend yield. The use of returns determines the existence of a wealth...

We examine the relation between stock returns and profit persistence. Profit persistence is an indicator of competitive pressure or managerial ability. This, in turn, can impact firm risk and cash flow and thus stock returns. Using data on US firms, we consider panel regression at both sector...

Using a simple and well-established model for predictive power this letter assess how much in-sample data is required to obtain good out-of-sample forecasts. Specifically using the present value predictive model for monthly stock returns we conduct a backward recursive exercise where the...

This paper examines the predictability of a range of international stock markets where we allow the presence of both local and global predictive factors. Recent research has argued that US returns have predictive power for international stock returns. We expand this line of research, following...

This paper examines the predictive ability of several stock price ratios, stock return dispersion and distribution for individual firm level stock returns. Analysis typically focusses on market level returns, however, for the asset pricing model that underlies predictability to hold, firm-level...

The nature of the relation between stock returns and the three monetary variables of interest rates (bond yields), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation changes over time, and this variation is largely driven...

Using a state-space model, this paper examines time-variation in the predictive regressions for stock returns, dividend growth and consumption growth. Moreover, we linked time-variation explicitly to movements in economic factors that can account for risk and cash flow. Results support the view...