Stock investments have become increasingly international, but only recently a deeper theoretical understanding of the forces influencing global stock market returns has been gained from empirical studies. This is a crucial issue for asset managers in order to control the risks and exposures of...

A measurement error in beta that arises from changes in leverage during the beta estimation window contributes in explaining the size effect. Simulations of asset returns show that the magnitude of the bias in equity returns is proportional to the stock market-induced changes in leverage. We...

This paper examines the cross-sectional properties of stock return forecasts based on Fama-MacBeth regressions using all firms contained in the STOXX Europe 600 index during the September 1999-December 2018 period. Our estimation approach is strictly out-of-sample, mimicking an investor who...