Common Predictable Components in Regional Stock Markets
用新发展的多变量方法研究国际股票市场收益的可预测性，发现太平洋、欧洲和北美市场存在显著共同可预测成分，且北美工具变量能预测其他区域超额收益。
This article employs recently developed, multivariate methods to study the predictability of international stock-market returns. We find evidence of significant common predictable components within the Pacific, the European, and the North American stock markets using region-specific instrumental variables. The degree of predictability of these common movements, however, varies across regional markets and across subperiods. Results indicate that only North American instrumental variables have the ability to predict excess returns on the stock markets in the other two regions, but not vice versa.