Common predictors variables for the equity premium such as financial ratios exhibit high persistence and thus are borderline non-stationary. This article sheds light on the possibility of fractional differencing those ratios in order to attain stationarity yet preserving the long-run memory....

We test the predictability of international (sub-) sector industry returns using common fundamental ratios. For the majority of sector returns we find pervasive predictive relationships using the global price to cash-flow ratio. Furthermore, we stress the cross-dependencies between sectors and...