The predictability of stock returns is assessed in 10 countries using the linear predictive regression framework. We use recently developed out-of-sample statistical tests and include both valuation ratios and interest rates as predictive variables. Contrary to previous studies, we explicitly...

<title>Abstract</title> We develop market timing strategies and trading systems to test the intra-day predictive power of Japanese candlesticks at the 5-minute interval on the 30 constituents of the DJIA index. Around a third of the candlestick rules outperform the buy-and-hold strategy at the conservative...

This paper investigates the link between jumps in the exchange rate process and rumours of central bank interventions. Using the case of Japan, we analyse specifically whether jumps trigger false reports of intervention (i.e. an intervention is reported when it did not occur). Intraday jumps are...