We present a novel approach to investigate US stock return predictability. Our analysis utilizes the best subset method to construct a single predictive regression from a set of fundamental factors and hence, it is robust to data snooping. We consider models with non-Gaussian distributions as a...

The Korean Stock Exchange's (KSE) KOSPI 200 Index futures and options have been the fastest growing derivatives contracts in the world in recent years. This paper presents an analysis of the factors contributing to the success, as measured by trading volume, of the KOSPI 200 Index futures...