This article examines the relationship between aggregate earnings and returns (ERC) in a global context. We examine a broad international sample of countries which encompass markets with different levels of stock market development, shareholder protection and legal origin. Recent literature...

This paper estimates global bad and good uncertainties from monthly data on industrial production from a large set of countries. Bad and good uncertainties have opposite effects on macro aggregates and stock returns. An increase in bad uncertainty adversely impacts both, while an increase in...

We build an information-based two-country general equilibrium model. There are two dividend processes with correlated growth rates. Agents observe a global public signal informative about both growth rates. We first let agents rationally process information, and then we allow for reasonable...