This internet appendix provides simulation results that compare the Bayesian model averaging approach (BMA) with alternative proxy selection approaches. For more information, refer to the main paper.The paper "Model Uncertainty and Expected Return Proxies'" to which these Appendices apply is...

Over the last two decades, alternative expected return proxies have been proposed with substantially lower variation than realized returns. This helped to reduce parameter uncertainty and to identify many seemingly robust relations between expected returns and variables of interest, which would...

In this paper, we examine size, value, and momentum patterns in the stock returns of four emerging market regions - Latin America, EMEA, Asia, and BRIC. We document a strong and highly significant value effect, and a strong but less significant momentum effect. Substantial value and momentum...

Using monthly stock returns from 28 emerging market countries and a total sample period of 21 years, we investigate the predictive power of a broad set of factors. We document that the factor definitions of the Fama and French (2015) five-factor model are less robust compared to alternative...