This study investigates the relation between firm-specific attributes and future equity returns in 23 emerging markets. Equal-weighted portfolio returns reveal strong evidence of short-term momentum (rather than reversal) and medium-term return momentum. We also find evidence that market beta,...

This paper investigates the predictability of variance and value at-risk (VaR) measures in international stock markets. We use daily stock market returns for G7 countries (the United States, the United Kingdom, Germany, Japan, Canada, France, Italy) and generate the realized variance and VaR...

This paper provides an analysis of the predictability of stock returns using market, industry, and firm-level earnings. Contrary to Lamont (1998), we find that neither dividend payout ratio nor the level of aggregate earnings can forecast the excess market return. We show that these variables do...