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Taking the perspective of international asset allocation, this paper tests if predictive regressions conditional on time-series and cross-sectional information can improve forecasts of stock index returns. We use different current price-to-fundamental ratios as predictors and condition the...
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We examine the predictive power of global financial price-to-fundamental ratios for future stock returns in a panel of major developed countries. By disentangling global and local information, we find the global component to be at least equally important and that its importance has increased in...
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