Given two virtually separate literatures on return predictability and the risk-return relation, this paper reconciles the two literatures by investigating the underlying mechanism of the return predictability literature through exploiting the risk-return relation. In developing an empirical model to examine the business cycles-risk-return relationship, we consider the fact that market volatilit...

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 predictability regression is suggested by a present value model with earnings growth, payout ratios and the short rate as state variables. We find the short rate to be the only robust short-run predictor of excess returns,...

Current embryonic attempts at software self–healing produce mechanisms that are often oblivious to the semantics of the code they supervise. We believe that, in order to help inform runtime repair strategies, such systems require a more detailed analysis of dynamic application behavior. We describe how to profile an application by analyzing all function calls (including library and system) made...

We examine predictive return regressions from a new angle. We ask what observable univariate properties of returns tell us about the “predictive space” that defines the true predictive model: the triplet ¡ λ,R2 x, ρ ¢ , where λ is the predictor’s persistence, R2 x is the predictive R-squared, and ρ is the "Stambaugh Correlation" (between innovations in the predictive system). When returns are n...

In his seminal work, Constantinides (1986) finds that transaction cost has only a second order effect on liquidity premia. In this paper, we show that incorporating the well-established time-varying return dynamics across trading and nontrading periods can produce a first order effect that is much greater than that found by the existing literature and comparable to empirical evidence. Surprisin...