We introduce a new approach to predicting market returns using the cross-section of earnings and book values to explain current stock prices and extract aggregate expected returns. The proposed measure is countercyclical; it portends a significant fraction of the time-series variation in stock...

This paper introduces a conditional extreme value volatility estimator (EVT) based on high-frequency returns. The relative performance of the extreme value volatility estimator is compared with the discrete-time GARCH and implied volatility models for 1-day and 20-day-ahead forecasts of realized...