Predicting Asset Returns

Predictability in asset returns remains one of the core research topics in financial economics. From an academic perspective, return predictability relates to central questions such as time-variation in the rewards to risk and market efficiency. From a policy perspective, the question of whether one can identify possibly “over-heated” markets that pose a threat to financial and macroeconomic stability is essentially a question of whether returns are predictable.

Despite many decades of research, there is still little consensus on the empirical evidence surrounding return predictability. The purpose of this workshop is therefore to bring together academics and policymakers presenting new analysis related to the prediction of asset returns. While the focus in much of the literature is on stock return predictability, we also especially invite contributions relating to other assets such as interest rates, foreign exchange, and commodities.