This paper examines the predictability of a range of international stock markets where we allow the presence of both local and global predictive factors. Recent research has argued that US returns have predictive power for international stock returns. We expand this line of research, following...

We considers two key questions regarding predictive power of the FED model for stock returns. First, utilising a rolling regression approach designed to mimic real time investors, we provide evidence that the FED model, together with interest rates and the dividend-price ratio, can forecast...

Changes in stock returns arise from changes in expected future cash flow growth and expected future discount rates. However, which variables proxy for those changes remains unknown. This paper considers twenty-five variables that are arranged into five groups and examines both in-sample...