Multi-period-ahead forecasts of returns' variance are used in most areas of applied finance where long horizon measures of risk are necessary. Yet, the major focus in the variance forecasting literature has been on one-period-ahead forecasts. In this paper, we compare several approaches of...

The Case-Shiller is the reference repeat-sales index for the U.S. residential real estate market, yet it is released with a two-month delay. We find that incorporating recent information from 71 financial and macro predictors improves backcasts, now-casts, and short-term forecasts of the index...

We propose forecasting separately the three components of stock market returns: the dividend-price ratio, earnings growth, and price-earnings ratio growth - the sum-of-the-parts (SOP) method. Our method exploits the different time-series persistence of the components and obtains out-of-sample...

We test the out-of-sample predictive power for one-year bond excess returns for a variety of models that have been proposed in the literature. We find that these models perform well in sample, but have worse out-of-sample performance than the historical sample mean. We write the one-year excess...

We propose forecasting separately the three components of stock market returns: dividend yield, earnings growth, and price-earnings ratio growth. We obtain out-of-sample R-square coefficients (relative to the historical mean) of nearly 1.6% with monthly data and 16.7% with yearly data using the...

We propose forecasting separately the three components of stock market returns: dividend yield, earnings growth, and price-earnings ratio growth. We obtain out-of-sample R-square coefficients (relative to the historical mean) of nearly 1.6% with monthly data and 16.7% with yearly data using the...