gain learning may contribute towards explaining the stock price and return volatility as well as the predictability of …

latent factor captures macroeconomic expectations. Concerning predictability, measured with time varying autocorrelations …

predictability of spot exchange rates rather than interest rate differentials, and these predictable spot returns are far stronger …

period of greater macroeconomic stability. The decline in the predictability of inflation is associated with a break down in … the predictive power of real activity, especially in the housing sector. The decline in the predictability of real …

uncertain and subject to learning. We discuss phenomena related to the volatility and predictability of asset returns, stock …

whether these two features of the data may in fact be related. In particular, we ask whether the predictability of exchange …

There is widespread evidence of excess return predictability in financial markets. In this paper we examine whether … this predictability is related to expectational errors. To consider this issue, we use data on survey expectations of … find that the predictability of expectational errors coincides with the predictability of excess returns: when a variable …