This paper analyzes the asset pricing and portfolio implications of an important barrier to
sustainable investing: uncertainty about the corporate ESG profile. In equilibrium, the market …

We review the literature on return and cash-flow growth predictability from the perspective of
the present-value identity. We focus predominantly on recent work. Our emphasis is on US …

Goyal and Welch argue that the historical average excess stock return forecasts future
excess stock returns better than regressions of excess returns on predictor variables. In this …

We propose a new investor sentiment index that is aligned with the purpose of predicting the
aggregate stock market. By eliminating a common noise component in sentiment proxies …

We examine the predictive power of the dividend yields for forecasting excess returns, cash
flows, and interest rates. Dividend yields predict excess returns only at short horizons …

This paper constructs a manager sentiment index based on the aggregated textual tone of
corporate financial disclosures. We find that manager sentiment is a strong negative …

Academic research relies extensively on macroeconomic variables to forecast the US equity
risk premium, with relatively little attention paid to the technical indicators widely employed …

We examine whether consumer confidence–as a proxy for individual investor sentiment–
affects expected stock returns internationally in 18 industrialized countries. In line with recent …

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 …

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 …