We investigate the intertemporal hedging demands for stocks and bonds for investors in the U.S., Australia, Canada, France, Germany, Italy, and U.K. Using the methodology of Campbell etal. [Campbell, J.Y., Chan, Y.L., Viceira, L.M., 2003a. A multivariate model of strategic asset allocation....

Using annual data for 1872-1997, this paper re-examines the predictability of real stock prices based on price-dividend and price-earnings ratios. In line with the extant literature, we find significant evidence of increased long-horizon predictability; that is, the hypothesis that the current...

We investigate return predictability and the implied intertemporal hedging demands for stocks and bonds in the U.S., Australia, Canada, France, Germany, Italy, and U.K. We first estimate predictive regression models for domestic bill, stock, and bond returns in each country, where returns depend...

In this paper, we investigate the degree of persistence in quarterly postwar tax-adjusted ex post real interest rates for 13 industrialized countries using two recently developed econometric procedures. Our results show that international tax-adjusted real interest rates are typically very...

We evaluate forecasting models of US business fixed investment spending growth over the recent 1995:1-2004:2 out-of-sample period. The forecasting models are based on the conventional Accelerator, Neoclassical, Average Q, and Cash-Flow models of investment spending, as well as real stock prices...