ratios. First, we find that P/C ratios contain more predictability about future stock returns at the daily level than O …/S ratios. Second, in contrast to our first set of results, O/S ratios contain more predictability about future returns at the … weekly and monthly levels than P/C ratios. In fact, our tests show that while P/C ratios contain predictability about future …

-samples (identified based on tests of structural breaks), the frequency domain causality test detects predictability for both the full … causality test, allows us to decompose causality by different time horizons, and hence, could detect predictability at certain … clear support of predictability on forecasting between tested variables. …

In this paper we test for predictability of excess stock returns for 18 emerging markets. Using a range of … macroeconomic and institutional factors, through a principal component analysis, we find some evidence of in-sample predictability … for 15 countries. In-sample predictability is corroborated by out-of-sample tests. Using a mean-variance investor …

-of-sample predictability of commodity prices by means of macroeconomic and financial variables. Commodity currencies are found to have some …–capital ratio have some predictive power at longer (yearly) horizons. Commodity price predictability is strongest when based on … multivariate approaches that account for parameter estimation error. Commodity price predictability varies substantially across …

increased predictability. Copyright Springer-Verlag Berlin Heidelberg 2014 …

Using five alternative data sets and a range of specifications concerning the underlying linear predictability models …-style strategy that fails to account for any predictability in asset returns. Within a framework in which the investor maximizes …