This paper studies the role of fluctuations in the aggregate price-earning ratio at different time-scales, for predicting stock returns and exploring the channels through which returns are forecasted. Using us quarterly data, we find that cycles in the price-earning ratio are strong and better...

The forecasting literature has identified three important and broad issues: the predictive content is unstable over time, in-sample and out-of-sample discordant results and the problematic statistical inference with highly persistent predictors. In this paper, we simultaneously address these...

The recent experience from the global financial crisis has raised serious questions about the accuracy of standard risk measures as a tool to quantify extreme downward risks. These standard risk measures, such as the var, emerge over the last decades as the industry standard for risk management...