Predictability of stock market returns

Does the performance of stock market return predictions increase, when information about the current valuation levels of national stock markets compared to their own history is combined with information about current valuation differences between different stock markets?

This question is addressed by Jochen Lawrenz and Josef Zorn in their latest research article, which was recently published in the Journal of Empirical Finance. Their results are interesting for researchers and practitioners in the field of international asset management alike.

Lawrenz Jochen and Zorn Josef (2017): Predicting international stock returns with conditional price-to-fundamental ratios. Journal of Empirical Finance 43 (September 2017), pp. 159 - 184, doi: 10.1016/j.jempfin.2017.06.003