Although volatility clustering has a long history as a salient empirical regularity
characterizing high-frequency speculative prices, it was not until recently that applied …

This chapter reviews the behavior of financial asset prices in relation to consumption. The
chapter lists some important stylized facts that characterize US data, and relates them to …

In the four regions (North America, Europe, Japan, and Asia Pacific) we examine, there are
value premiums in average stock returns that, except for Japan, decrease with size. Except …

We survey the literature on stock return forecasting, highlighting the challenges faced by
forecasters as well as strategies for improving return forecasts. We focus on US equity …

SEQUELS ARE RARELY AS good as the originals, so I approach this review of the market
efflciency literature with trepidation. The task is thornier than it was 20 years ago, when work …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …

Value stocks have higher returns than growth stocks in markets around the world. For the
period 1975 through 1995, the difference between the average returns on global portfolios …

The basic paradigm of asset pricing is in vibrant flux. The purely rational approach is being
subsumed by a broader approach based upon the psychology of investors. In this approach …

We propose a measure of capital market integration arising from a conditional regime‐
switching model. Our measure allows us to describe expected returns in countries that are …

We investigate lead‐lag relationships among monthly country stock returns and identify a
leading role for the United States: lagged US returns significantly predict returns in …