Welch and Goyal (2008) find that numerous economic variables with in-sample predictive
ability for the equity premium fail to deliver consistent out-of-sample forecasting gains relative …

We investigate lead‐lag relationships among monthly country stock returns and identify a
leading role for the United States: lagged US returns significantly predict returns in numerous …

… Author links open overlay panel Jack Strauss a , Taner Yigit b … Table 3 applies our
simulation studies to three widely used data sets (Maddison, 1995 data set which Evans and …

We use machine learning tools to analyze industry return predictability based on the
information in lagged industry returns from across the entire economy. Controlling for post-selection …

This paper supports the existence of a significant, long-run relationship between stock prices
and domestic and international economic activity in six European economies. Johansen …

We investigate the empirical relevance of structural breaks for GARCH models of exchange
rate volatility using both in‐sample and out‐of‐sample tests. We find significant evidence of …

Major global events can lead to a change in the cross‐country correlation of assets. Using
stock prices from 25 economies, we test whether the terrorist attack in the United States on …

Given the marked differences in housing price growth across US regions since the mid-1990s,
we investigate forecasts of state-level real housing price growth for 1995–2006. We …

This article investigates the long‐run relationship between prices and wage‐adjusted
productivity as well as between real wages and average labor productivity at the industry level for …

We examine the role of structural breaks in forecasting stock return volatility. We begin by
testing for structural breaks in the unconditional variance of daily returns for the S&P 500 …