This paper finds that the European leading economic indicator, a prime business cycle indicator for the European economies published by the OECD, can strongly predict European stock returns and generate utility gains. Importantly, the predictive power of the European indicator is above and...

This paper investigates the out-of-sample predictability of international bond risk premia. We endogenously construct a global common Cochrane and Piazzesi (2005) factor. We find that the global factor strongly predicts international bond risk premia and delivers economically significant gains...