We comprehensively analyze the predictive power of several option implied variables for monthly S & P 500 excess returns and realized variance. The correlation risk premium (CRP) emerges as a strong predictor of both excess returns and realized variance. This is true both in- and out-of-sample....

In recent years, commodity markets have become increasingly popular among financial investors. In contrast to traditional markets such as equities or bonds for which many studies have identified various profitable investment strategies, less is known for commodity markets. In this paper, we...

Using more than 140 years of data, we comprehensively analyze the predictive power of a broad set of macroeconomic variables for risk and return in commodity spot markets. We find that industrial production growth and inflation are the strongest predictors for future commodity excess returns....

By studying 81 countries over a period of up to 144 years, with different classes of predictor variables and various forecast specifications, we conduct the most comprehensive equity premium predictability analysis to date. We find that excess returns are more predictable in Emerging and...

We comprehensively analyze the predictive power of several option-implied variables for monthly S&P 500 excess returns and realized variance. The correlation risk premium (CRP) and the variance risk premium (VRP) emerge as strong predictors of both excess returns and realized variance. This is...

We comprehensively analyze the predictive power of several option implied variables for monthly S & P 500 excess returns and realized variance. The correlation risk premium (CRP) emerges as a strong predictor of both excess returns and realized variance. This is true both in- and out-of-sample....