Rapach and Strauss are with the Saint Louis University John Cook School of Business. Zhou is with the Washington University in St. Louis Olin Business School, CAFR, and CEMA. We are extremely grateful to Andrew Ang (Acting Editor) and two anonymous referees for extensive comments that significantly improved the paper. We also thank Magnus Dahlquist, John Griffin, Campbell Harvey, Satadru Hore, Jack Lu, Pedro Matos, Michael McCracken, Frederico Nadari, Ľuboš Pástor, Georg Strasser, Ivo Welch, Yexaio Xu, and seminar participants at Boston College, Louisiana State University, Virginia Tech, Western Michigan University, the 2009 Midwest Econometric Group Meetings, and the 2009 International Atlantic Economic Conference for very helpful comments. In addition, the authors thank Bryan Taylor for providing information on series from Global Financial Data. The usual disclaimer applies. Rapach and Strauss acknowledge financial support from the Simon Center for Regional Forecasting at Saint Louis University.
International Stock Return Predictability: What Is the Role of the United States?
Version of Record online: 16 JUL 2013
© 2013 the American Finance Association
The Journal of Finance
Volume 68, Issue 4, pages 1633–1662, August 2013
How to Cite
RAPACH, D. E., STRAUSS, J. K. and ZHOU, G. (2013), International Stock Return Predictability: What Is the Role of the United States?. The Journal of Finance, 68: 1633–1662. doi: 10.1111/jofi.12041
- Issue online: 16 JUL 2013
- Version of Record online: 16 JUL 2013
- Accepted manuscript online: 19 MAR 2013 12:00AM EST
- Manuscript Accepted: 12 FEB 2013
- Manuscript Received: 6 JAN 2011
Disclaimer: Supplementary materials have been peer-reviewed but not copyedited.
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