We match administrative panel data on portfolio choices with survey measures of financial literacy. We observe that, controlling for portfolio risk, most literate households experience 0.4% higher annual returns than least literate households. We then show that more literate households display...

This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...

This paper explores French assets returns predictability within a VAR setup. Using quarterly data from 1970Q4 to 2006Q4, it turns out that bonds, equities and bills returns are actually predictable. This feature implies that the investment horizon does indeed matter in the asset allocation. The...