The Risk and Predictability of International Equity Returns
研究国家股票市场收益的可预测性及其与全球经济风险的关系，使用1970-1989年月度数据检验单因子和多因子模型，发现模型能捕捉多国收益的大部分可预测性，且主要源于全球风险溢价的时间变化。
We investigate predictability in national equity market returns, and its relation to global economic risks. We show how to consistently estimate the fraction of the predictable variation that is captured by an asset pricing model for the expected returns. We use a model in which conditional betas of the national equity markets depend on local information variables, while global risk premia depend on global variables. We examine single- and multiple-beta models, using monthly data for 1970 to 1989. The models capture much of the predictability for many countries. Most of this is related to time variation in the global risk premia.