We examine in this paper the training and test set performance of several equity factor models with a dataset of 20 years of data, 1,200 stocks and 100 factors. First, we examine several models to forecast expected returns, which can be used as baselines for more complex models: linear...

This paper tests the efficiency of macroeconomic forecasts, contributing to the existing literature using a rolling-event approach. We construct a monthly economic surprises index, aggregating several macroeconomic news surprises for the nine largest economic areas (G9), which we further analyze...

We propose a new asset-pricing framework in which all securities' signals are used to predict each individual return. While the literature focuses on each security's own- signal predictability, assuming an equal strength across securities, our framework is flexible and includes...

Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations among them, concentrating on conditional asset-pricing models where lagged variables serve as...

We examine whether real-time return forecasts are valuable to an investor looking to allocate their portfolio across a wide selection of countries. We expand the Sum-of-Parts (SoP) method for forecasting stock returns to an international setup by adding FX returns as an additional component. We...

I propose to forecast the market returns through its constituents. In contrast to the voluminous literature that concentrates on the predictive power of aggregate cross-sectional or macroeconomic predictors, I analyze the return predictability of sub-portfolios that compose the market portfolio....

You're probably familiar, at least in passing, with the 'convexity' of long-term bonds - i.e. that yields dropping 1% produce a bigger price move than yields rising 1%. A significant amount of brainpower has gone into understanding all the ramifications of this convexity in the fixed income...

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by inflation and interest rate expectations as well...

What is the probability of high inflation; how high, when? These questions are important to all investors since even the 2% level to which we are accustomed will cut an investor's portfolio by over 17% during a decade. This 2% level is the target of the Federal Reserve, along with near 0%...

Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...