We develop an approach to determine whether a particular predictor represents a proxy for fundamental risk. We build on the assumption that risk-based predictors should be linked to new information about economic conditions. We show that most predictors forecast returns on either days with macroeconomic announcements or the remaining days, indicating that sources of return predictability differ across predictors: few are driven by fundamental risk; most have other origins. We show that Shiller’s excess volatility is confined to non-announcement days, suggesting that the ability to forecast stock market’s noise component underlies much of the predictability documented in the literature.