-specific risk factors and use the joint conditional distribution of these components to obtain forecasts of future carry trade … returns. Our results suggest that the decomposition model produces higher forecast and directional accuracy than any of the … competing models. We show that the forecasting gains translate into economically and statistically significant (risk …

, Roll, and Ross (1986)'s macroeconomic risk factors, and find that the macro fundamentals cannot explain the predictive …

This paper analyzes the role of uncertainty on both exchange rate expectations and forecast errors of professionals for … Bayesian VAR approach, we observe that effects on forecast errors of professionals turn out to be more significant compared to …

forecast levels. A country's proximity to the US, importance to the firm, and visibility, as well as availability of more … precise information about foreign country exposures, contribute to consensus forecast efficiency. We identify a dimension of … — and show that it contributes to forecast efficiency, accuracy, and informativeness and that it helps the analyst achieve …

portfolios in terms of portfolio risk. While optimal daily weights minimize portfolio risk, we find that portfolio turnover and …

forecast specifications, we conduct the most comprehensive equity premium predictability analysis to date. We find that excess … returns are more predictable in Emerging and Frontier than in Developed Markets. For all groups, forecast combinations perform …