We find out-of-sample predictability of commodity futures excess returns using forecast combinations of 28 potential … predictability is countercyclical, and the combination forecasts of commodity returns have significantly positive predictive power …

. While the literature focuses on each security's own- signal predictability, assuming an equal strength across securities …, our framework is flexible and includes cross-predictability—leading to three main results. First, we derive the optimal …

We investigate if unemployment fluctuations generate predictability in the cross-section of currency excess returns. To … assess the predictability exerted by unemployment fluctuations, we sort currencies according to past growth in the …

predictability hypothesis, suggesting that time-aggregation of dividends eliminates significant information …

This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum … the USA from 1963 to 2012 reduces the momentum effect from a highly statistically significant 11.94% to an insignificant 1 ….84%. We find additional supportive out-of sample evidence for our risk-based momentum explanation in a sample of 23 …