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International Evidence for Return Predictability and the Implications for Long-Run Covariation of the G7 Stock Markets

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/s10679-006-6979-1openalex-extracted

Firm-Level Evidence on International Stock Market Comovement

inferredcites →https://doi.org/10.1016/0261-5606(94)00001-hopenalex-extracted

Is the correlation in international equity returns constant: 1960–1990?

inferredcites →https://doi.org/10.1016/0304-3932(81)90040-4openalex-extracted

A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’

inferredcites →https://doi.org/10.1016/0304-3932(92)90025-wopenalex-extracted

Common stochastic trends in international stock markets

inferredcites →https://doi.org/10.1016/j.frl.2004.10.001openalex-extracted

tay's as good as cay

inferredcites →https://doi.org/10.1016/j.frl.2004.10.002openalex-extracted

tay's as good as cay: Reply

inferredcites →https://doi.org/10.1016/j.jempfin.2005.09.002openalex-extracted

Interpreting the predictive power of the consumption–wealth ratio

inferredcites →https://doi.org/10.1016/j.jfineco.2004.05.008openalex-extracted

Expected returns and expected dividend growth

inferredcites →https://doi.org/10.1016/j.jimonfin.2005.04.001openalex-extracted

Comovement in international equity markets: A sectoral view

inferredcites →https://doi.org/10.1016/j.jmacro.2004.12.001openalex-extracted

Expected stock returns, aggregate consumption and wealth: Some further empirical evidence

inferredcites →https://doi.org/10.1016/j.red.2005.08.003openalex-extracted

Empirical proxies for the consumption–wealth ratio

inferredcites →https://doi.org/10.1016/s0165-1889(99)00062-7openalex-extracted

A systematic framework for analyzing the dynamic effects of permanent and transitory shocks

inferredcites →https://doi.org/10.1080/01621459.1988.10478707openalex-extracted

Testing for Common Trends

inferredcites →https://doi.org/10.1093/rfs/1.3.195openalex-extracted

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

inferredcites →https://doi.org/10.1093/rfs/5.3.351openalex-extracted

Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement

inferredcites →https://doi.org/10.1093/rfs/6.3.527openalex-extracted

inferredcites →https://doi.org/10.1111/0022-1082.00244openalex-extracted

Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk

inferredcites →https://doi.org/10.1111/1468-0297.00488openalex-extracted

Portfolio Choice in the Presence of Background Risk

inferredcites →https://doi.org/10.1111/1468-0297.00625openalex-extracted

The Relative Dynamics of Investment and the Current Account in the G7‐Economies

inferredcites →https://doi.org/10.1111/j.1475-4932.2004.00194.xopenalex-extracted

Consumption, Wealth and Expected Stock Returns in Australia*

inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb03747.xopenalex-extracted

The World Price of Covariance Risk

inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb03978.xopenalex-extracted

Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration

inferredcites →https://doi.org/10.1111/j.1540-6288.2006.00157.xopenalex-extracted

The Risk‐Return Relation in International Stock Markets

inferredcites →https://doi.org/10.1257/000282804322970805openalex-extracted

Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption

inferredcites →https://doi.org/10.2139/ssrn.169791openalex-extracted

Consumption, Aggregate Wealth and Expected Stock Returns

inferredcites →https://doi.org/10.2139/ssrn.293830openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.327180openalex-extracted

The Rise in Comovement Across National Stock Markets: Market Integration or it Bubble?

inferredcites →https://doi.org/10.2139/ssrn.882928openalex-extracted

Comovements in National Stock Market Returns: Evidence of Predictability But Not Cointegration

inferredcites →https://doi.org/10.2307/1911260openalex-extracted

Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

inferredcites →https://doi.org/10.2307/1913610openalex-extracted

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

inferredcites →https://doi.org/10.2307/3584973openalex-extracted

inferredcites →https://doi.org/10.3386/w10476openalex-extracted

Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?

inferredcites →https://doi.org/10.3386/w2343openalex-extracted

Mean Reversion in Stock Prices: Evidence and Implications

inferredcites →https://doi.org/10.1016/j.frl.2003.11.001openalex-snapshot

Limited stock market participation and the equity premium

inferredcites →https://doi.org/10.1016/s0022-1996(01)00102-7openalex-snapshot

The External Wealth of Nations Measures of Foreign Assets and Liabilities for Industrial and Developing Countries

inferredcites →https://doi.org/10.1086/250059openalex-snapshot

By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior

inferredcites →https://doi.org/10.1086/262026openalex-snapshot

Understanding Risk and Return

inferredcites →https://doi.org/10.1086/426518openalex-snapshot

Long-Term Global Market Correlations

inferredcites →https://doi.org/10.1086/654107openalex-snapshot

Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence

inferredcites →https://doi.org/10.1093/0198774508.001.0001openalex-snapshot

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

inferredcites →https://doi.org/10.1093/rfs/5.3.527openalex-snapshot

The Risk and Predictability of International Equity Returns

inferredcites →https://doi.org/10.1093/rfs/hhj008openalex-snapshot

Exchange Rates, Equity Prices, and Capital Flows

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.1007/s11408-009-0119-9openalex-snapshot

Idiosyncratic consumption risk and predictability of the carry trade premium: Euro-Area evidence

inferred← citeshttps://doi.org/10.5167/uzh-52330openalex-snapshot

Securitization of Mortgage Debt, Asset Prices and International Risk Sharing

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