This paper examines the time-series predictability of aggregate stock returns in 20 emerging markets. In contrast to … the aggregate-level findings in US, earnings yield forecasts the time-series of aggregate stock returns in emerging … right. Aggregate earnings themselves covary with the market returns, hence it is not just the mean reversion of stock prices …

returns for traces of predictability or non-randomness using variance ratio tests, Granger-Causality models and runs tests …

We investigate the cross-sectional pattern of stock returns for eight emerging markets using Vector Autoregressive … Approach (VAR) to test whether dividend yields can predict stock returns through impulse response characteristics. Our results … confirm that dividend yield shocks play an important role in driving fluctuation in stock returns and this relation is …

Stock prices are one of the most volatile economic variables and forecasting stock prices and their returns has proved … returns in nine international stock exchanges for the period 1998-2008. The models are random walk, historical mean, moving … average, exponentially something, AR, and GARCH class models including ARCH, GARCH, GJR- GARCH, and EGARCH. Volatility is …

(S&P, FTSE, CAC, SMI and DAX), we separate option-implied volatility into Ross-recovered true expected volatility and a … risk preference factor. We investigate whether these factors perform better to forecast realized volatility if constructed … evidence of significantly improved realized volatility forecasts. Models using Ross-recovered value-weighted global measures of …

We suggest that the term structure of volatility futures (e.g. VIX futures) shows a clear pattern of dependence on the … level (over 30) it is strongly downward sloping. We use those features to better predict future volatility and index futures …. We begin by introducing some quantitative measures of volatility term structure (VTS) and volatility risk premium (VRP …

time-varying parameter vector autoregression with stochastic volatility. The empirical analysis reveals several new …