This paper documents risk-neutral moments of returns on 29 country-/region-specific ETFs to provide international uncertainty proxies for as many locations possible. Our evidence shows these can generally reflect idiosyncratic information from markets, but the predictive abilities are heterogeneous among them. The panel prediction that standard deviation ( V O L $$ VOL ) positively predict, ske...

Abstract We study the effects of time-varying volatility and investment horizon on economic significance stock market return predictability from perspective Bayesian investors. Using a vector autoregression framework with stochastic (SV) in returns predictor variables, we assess broad set twenty-six predictors both in-sample out-of-sample designs. Volatility are critically important for assessi...

In the asset pricing literature, time-variation in market expected excess return captured by financial ratios like dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational mispricing. Extending the work on asset allocation and dividend yield by Kandel and Stambaugh (1996) to accommodate variation in risk as well as expected return,...