Trading activity in G7 stock markets reflects not only the macroeconomic and financial impact of these G7 economies in international economic growth, but also their financial interdependence. While this nexus of major stock markets has been explored in terms of volatility and return spillovers,...

We provide evidence using data from the G7 countries suggesting that return dispersion may serve as an economic state variable in that it reliably predicts time-variation in economic activity, market returns, the value and momentum premia and market volatility. A relatively high return...

Truth is important in finance. Asset valuation, being a constitutive component of investment theory and the allocation of resources in the industry of financial services, is based on models that calculate true asset values as distinct from observed market prices. In financial economics, truth is...