Liquidity co-movements are studied within three different market capitalization indices, each made up of 100 NYSE stocks. Long-run liquidity co-movements are quantified in each class and compared to short-run liquidity co-movements. To condition the analysis of systematic liquidity upon index...

The predictability of stock returns is assessed in 10 countries using the linear predictive regression framework. We use recently developed out-of-sample statistical tests and include both valuation ratios and interest rates as predictive variables. Contrary to previous studies, we explicitly...

This paper takes a new look at the relation between volume and realized volatility. In contrast to prior studies, we decompose realized volatility into two major components: a continuously varying component and a discontinuous jump component. Our results confirm that the number of trades is the...

The predictability of stock returns in ten countries is assessed taking into account recently developed out-of-sample statistical tests and risk-adjusted metrics. Predictive variables include both valuation ratios and interest rate variables. Out-of-sample predictive power is found to be...

Since the 1990's run up in stock prices and subsequent crashes, the financial community has taken a dim view of the traditional valuation ratios and has instead turned its attention to a new valuation ratio: the Bond-Equity Yield Ratio (BEYR). In this paper we provide the first comprehensive,...