Long histories of returns are needed but often lacking when estimating the equity premium. This paper studies stock return predictability from the perspective of a Bayesian investor who has access to international data. Learning across countries arises whenever this investor believes that...

It is well known that the interest rate differential predicts currency returns. However, we argue in a present-value model that the real exchange rate is also key to understanding currency returns. We find that a missing risk premium, which is closely related to the real exchange rate, explains...

We hypothesize the existence of a slow-moving fad component in art prices. Using unique panel survey data on art market participants' confidence levels in the outlook for a set of artists, we find that sentiment indeed predicts short-term returns