Before revision: We present a Bayesian hierarchical framework for both cross-sectional and time-series return prediction. Our approach builds on a market-timing predictive system that jointly allows for time-varying coefficients driven by  fundamental characteristics.
After revision: This paper investigates asset allocation problems when returns are predictable. We introduce a market-timing Bayesian hierarchical (BH) approach that adopts heterogeneous time-varying coefficients driven by fundamental characteristics.