This paper uses the information in time-series behavior of conditional correlation between Fama-French factor portfolios and state variables that define the investment opportunity set, vis-a-vis the contemporaneous phase of the business cycle and/or the expectations about the near term business...

We develop and test explanations for sources of intertemporal variation in the information content of aggregate earnings and how that variation explains variation in the relation between aggregate earnings growth and market returns over time. We find that the correlation between aggregate...