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Consumption and stock prices : evidence from a small international panel

McMillan, David G. - In: Journal of macroeconomics 36 (2013), pp. 76-88

Persistent link: https://www.econbiz.de/10009751139

A panel analysis of the stock return-dividend yield relation : predicting returns and dividend growth

McMillan, David G.; Wohar, Mark E. - In: The Manchester School 81 (2013) 3, pp. 386-400

Persistent link: https://www.econbiz.de/10009755542

Value premium and default risk

Elgammal, Mohammed Mohammed; McMillan, David G. - In: The journal of asset management 15 (2014) 1, pp. 48-61

Persistent link: https://www.econbiz.de/10010370070

Revisiting dividend yield dynamics and returns predictability : evidence from a time-varying ESTR model

McMillan, David G. - In: The quarterly review of economics and finance : journal … 49 (2009) 3, pp. 870-883

Persistent link: https://www.econbiz.de/10003873643

Level-shifts and non-linearity in US financial ratios : implications for returns predictability and the present value model

McMillan, David G. - In: Review of accounting & finance 9 (2010) 2, pp. 189-207

Persistent link: https://www.econbiz.de/10003991054

Stock return predictability and dividend-price ratio : a nonlinear approach

McMillan, David G.; Wohar, Mark E. - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 351-365

Persistent link: https://www.econbiz.de/10008811291

Return and volatility spillovers in three euro exchange rates

McMillan, David G.; Speight, Alan E. H. - In: Journal of economics & business 62 (2010) 2, pp. 79-93

Persistent link: https://www.econbiz.de/10003949050

Time varying stock return predictability : evidence from US sectors

Guidolin, Massimo; McMillan, David G.; Wohar, Mark E. - In: Finance research letters 10 (2013) 1, pp. 34-40

Persistent link: https://www.econbiz.de/10009728606

Does the macroeconomy predict UK asset returns in a nonlinear fashion? : comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - In: Oxford bulletin of economics and statistics 76 (2014) 4, pp. 510-535

Persistent link: https://www.econbiz.de/10010474888

Non-linear predictability in stock and bond returns : when and where is it exploitable?

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2008

We systematically examine the comparative predictive performance of a number of alternative linear and non-linear models for stock and bond returns in the G7 countries. Besides Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STAR) regime switching...

Persistent link: https://www.econbiz.de/10003732461