Ungeheuer and Weber (2021, UW) propose a Comove measure, the fraction of weekly stock returns that are in the same direction as the market, and document that Comove positively predicts cross-sectional stock returns. We show that Comove is strongly negatively correlated with idiosyncratic...

Periodic spikes and waves in daily stock return predictability appear across quarterly and other frequencies and dissipate at more distant lags in the term structure of predictability. A 'long ripple' across the term structure spans more than one year of lags. The term structure's level and...

In this paper, I revisit the predictive ability of the price to earnings (PE) ratio for future returns. I provide a model of expected returns by decomposing stock price into earnings and PE ratio. While the PE ratio is modeled as a mean-reverting AR(1) process, earnings follow a linear trend....

The paper examines statistical and economic evidence of out-of-sample bond return predictability for a real-time Bayesian investor who learns about parameters, hidden states, and predictive models over time. We find some statistical evidence using information contained in forward rates. However,...

In this paper we investigate the predictive power of cross-sectional volatility, skewness and kurtosis for future stock returns. Adding to the work of Maio (2016), who finds cross-sectional volatility to forecast a decline in the equity premium with high predictive power in-sample as well as...

Using a comprehensive data set and an array of 27 macroeconomic, stock and bond predictors, we find that corporate bond returns are highly predictable based on an iterated combination model. The large set of predictors outperforms traditional predictors substantially, and predictability...

This paper proposes a tail risk index, TIX, as the growth rate of the model-free cumulant generating function of market risk calculated from index option prices. It captures the power law decay rate of the left tail of future return distributions, and thus reflects market beliefs about the...

Testing for constant expected returns and forecasting future returns necessitate the information beyond a single predictor. We consider the predictive regression model with multiple predictors which are potentially strongly persistent and cointegrated. Instrumental variables based tests for...

We study the effect of a mandatory improvement in public disclosure due to the adoption of International Financial Reporting Standards (IFRS) on the stock return predictability of shorting activity. To assess the impact of the disclosure shock, we measure monthly changes in the demand for and...

This paper investigates the relation between mutual fund flows and the real economy.The findings of this paper support the theory that the positive co-movement of flows into equity funds and stock market returns is explained by a common response to macroeconomic news.Variables that predict the...