The stock expected returns are positively related to operation performances and negatively related to investment and financing activities, we check the three indicators with significant predictive power in the cross-section of stock returns, across large, medium and small cap stock groups: Net...

We investigate the relative ability of two measures of the market implied cost of capital to predict aggregate equity market returns. One is Aggregate ICC, which is a weighted average of individual firms' ICC's. The other is ICC calculated using index information (Index ICC). Index ICC predicts...

We propose a new methodology for predicting international stock returns and evaluating international asset pricing models. Our Bayesian framework performs probabilistic selection of predictors and factors that can shift at multiple unknown structural break dates. The approach generates...