We investigate the stock return predictability for the aggregate Central and Eastern European (CEE) markets from 1998 through the mid-2017. Using the firm-level data we construct country portfolios and sets of component portfolios: 10 industry portfolios, 10 size portfolios, 10 market-to-book...

In a parsimonious regime switching model, expected consumption growth varies over time. Adding in ation as a conditioning variable, we uncover two states in which expected consumption growth is low, one with high and one with negative expected in ation. Embedded in a general equilibrium asset...

In a parsimonious regime switching model, expected consumption growth varies over time. Adding in ation as a conditioning variable, we uncover two states in which expected consumption growth is low, one with high and one with negative expected in ation. Embedded in a general equilibrium asset...