Using principal components analysis, I examine capital market integration of 15 industrialized economies from 1875 to 2009. The methodology accounts for several dimensions of integration (markets comovement and segmentation) and delivers more credible conclusions concerning the patterns of...

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...