Common Predictable Components in Regional Stock Markets
用新多变量方法研究国际股票收益的可预测性，发现太平洋、欧洲和北美市场存在共同可预测成分，但预测能力因区域和时期而异，且北美变量能预测其他区域收益。
This paper 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.