We compare several representative sophisticated model averaging and variable selection techniques of forecasting stock returns. When estimated traditionally, our results confirm that the simple combination of individual predictors is superior. However, sophisticated models improve dramatically...

Cross sectional return dispersion seems a simple, good, real time gauge of uncertainty. Internationally, cross-sectional return dispersion correlates strongly with all sorts of measures of macroeconomic and political uncertainty like, (global) recessions, international political crises, country...