This paper studies the predictive power of expected volatility in the cross-section of expected stock returns. Evidence indicates that total and idiosyncratic volatility levels and volatility innovations have predictive power in the cross-section of expected excess stock returns. The results...

With new annual data of 16 developed countries across bond, equity, and housing markets, I study the return predictability using the payout-price ratios, i.e., coupon price, dividend price, and rent price. None of the 48 country-asset combinations shows consistent in-sample and out-of-sample...