This paper examines the predictability of a range of international stock markets where we allow the presence of both local and global predictive factors. Recent research has argued that US returns have predictive power for international stock returns. We expand this line of research, following...

Changes in stock returns arise from changes in expected future cash flow growth and expected future discount rates. However, which variables proxy for those changes remains unknown. This paper considers twenty-five variables that are arranged into five groups and examines both in-sample...

We forecast quarterly US stock returns using eighteen predictor variables both individually and in multivariate regressions, with the former also used in forecast combinations. Using rolling and recursive approaches, we consider a range of statistical and economic evaluation measures. We...