Long-term country equity premium forecasts based on a cross-sectional global factor model (CS-GFM), where factors represent compensation for risks proxied by valuation and financial variables, are superior, statistically and economically, from forecasts based on time-series prediction models...

We shed new light on the role of commodities in asset allocation for investors with and without liabilities who (a) believe that asset returns are time varying and predictable (b) have short and long term horizons and (c) have access, in addition to a standard passive commodity portfolio, to...

Knowledge of the interest rate sensitivity of stocks is important in many areas of investment and finance. This paper makes three contributions to the existing literature: (a) it provides estimates of stock sensitivity to changes in nominal and real interest rates and expected inflation (b) it...