Cross-predictability denotes the fact that some assets can predict other assets' returns. I propose a novel performance …-based measure that disentangles the economic value of cross-predictability into two components: the predictive power of one asset …-prediction effects. In the crosssection, cross-predictability gravitates towards small firms that are strongly mispriced and difficult to …

price-earnings multiple to form the sum-of-the-parts forecast. Our results demonstrate significant predictability from a … predictability of both return components varies over time and is affected by the business cycles. While earnings growth is more …

exhibits strong out-of-sample predictability, which is robust across various models and all types of predictors. This … predictability is significant both statistically and economically, with a simple investment strategy obtaining its return three times … volatility and market volatility measurement predictors play crucial roles in the reversal factor premium's robust predictability …

international portfolio reallocation and return predictability. …