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Stock Return Predictability: Is it There?
We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the dividend yield, the earnings yield and the short rate. The predictabilityExpand
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Time-Varying World Market Integration
We propose a conditional measure of capital market integration that allows us to characterize both the cross-section and time-series of expected returns in developed and emerging markets. OurExpand
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Foreign Speculators and Emerging Equity Markets
A number of countries have delayed the opening of their capital markets to international" investment because of reservations about the impact of foreign speculators on both expected" returns andExpand
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Regime Switches in Interest Rates
Regime-switching models are well suited to capture the non-linearities in interest rates. This paper examines the econometric performance of regime-switching models for interest rate data from theExpand
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Emerging Equity Market Volatility
Returns in emerging capital markets are very different from returns in developed markets. While most previous research has focused on average returns, we analyze the volatility of the returns inExpand
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Asymmetric Volatility and Risk in Equity Markets
It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively correlated. We provide a unified framework to simultaneously investigate asymmetricExpand
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International Asset Allocation With Regime Shifts
Correlations between international equity market returns tend to increase in highly volatile bear markets, which has led some to doubt the benefits of international diversification. This articleExpand
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The Term Structure of Real Rates and Expected Inflation
Changes in nominal interest rates must be due to either movements in real interest rates or expected inflation, or both. We develop a term structure model with regime switches, time-varying prices ofExpand
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Market Integration and Investment Barriers in Emerging Equity Markets
This article develops a return-based measure of market integration for nineteen emerging equity markets. It then examines the relation between that measure, other return characteristics, and broadlyExpand
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Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?
Surveys do! We examine the forecasting power of four alternative methods of forecasting U.S. inflation out-of-sample: time series ARIMA models; regressions using real activity measures motivated fromExpand
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