We present a novel approach to analyzing stock return predictability that accommodates (i) arbitrary predictor persistence, (ii) panels with common factors, (iii) multiple predictors, (iv) short- and long-horizon analysis, and relies on standard inference from least-squares estimation of a...

We show that improved hedging of bond portfolios can be achieved by matching generalized durations that are parametrized according to a parsimonious yield curve shape which is dynamically consistent with a new term structure model with stochastic level, slope, and curvature factors. Performance...

The relationship between the level of stock market volatility and public information flow is non-linear, resembling a bell-shaped function. Medium levels of information flow generate heightened volatility, whereas weak and strong information flow do not, regardless of whether news are negative...

We investigate lead-lag relationships among country stock returns and identify a leading role for the United States: lagged U.S. returns significantly predict returns in numerous non-U.S. industrialized countries (after controlling for national economic variables and countries' own lagged...