me e--V Va ar ry yi in ng g E Ex xp pe ec ct te ed d R Re et tu ur rn ns s: : E Ev vi id de en nc ce e f fr ro om m t th he e U U. .S S. . a an nd d t th he e U U. .K K" " R Ri ic ca ar rd do o M M. . S So ou us sa a NIPE WP 10/ 2010 " "T Ti im me e--V Va ar ry yi in ng g E Ex xp pe ec ct te ed d R Re et tu ur rn ns s: : E Ev vi id de en nc ce e f fr ro om m t th he e U U. .S S. . a an nd d t th he e U U. .K K" " R Ri ic ca ar rd do o M M. . S So ou us sa a Abstract I assess the relative

more »

... ance of several empirical proxies developed in the literature of asset pricing to capture time-variation in expected future returns using data for the U.S. and the U.K.. I show that the wealth composition risk by Sousa (2010) exhibits strong forecasting power.