Predicting the equity premium around the globe: Comprehensive evidence from a large sample
研究了81个国家长达145年的数据，发现新兴和前沿市场的股票超额收益比发达市场更可预测，市场效率低下是预测力的重要驱动因素。
Examining 81 countries over a period of up to 145 years and using various predictor variables and forecasting specifications, we provide a detailed analysis of equity premium predictability. We find that excess returns are more predictable in emerging and frontier markets than in developed markets. For all groups, forecast combinations perform very well out of sample. Analyzing the cross-section of countries, we find that market inefficiency is an important driver of return predictability. We also document significant cross-market return predictability. Finally, domestic inflation-adjusted returns are significantly more predictable than USD returns.