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Cointegration between stock prices, dividends, output and consumption : Evidence and forecasting ability for 29 markets

Black, Angela J.; McMillan, David G.; McMillan, Fiona J. - In: Review of Accounting and Finance 14 (2015) 1, pp. 81-103

Purpose – This paper aims to empirically test for multiple cointegrating vectors in a holistic manner. Theoretical developments imply bivariate cointegration among stock prices, dividends, output and consumption where independent models identify key theoretical cointegration vectors....

Persistent link: https://www.econbiz.de/10014989914

The value premium and economic activity : long-run evidence from the United States

Black, Angela J.; Mao, Bin; McMillan, David G. - In: The journal of asset management 10 (2009/10) 5, pp. 305-317

Persistent link: https://www.econbiz.de/10009871054

Long run trends and volatility spillovers in daily exchange rates

Black, Angela J.; McMillan, David G. - In: Applied financial economics 14 (2004) 12, pp. 895-907

Persistent link: https://www.econbiz.de/10002150770

Nonlinear error correction in spot and forward exchange rates

McMillan, David G.; Black, Angela J. - In: Weltwirtschaftliches Archiv : Zeitschrift des Instituts … 137 (2001) 4, pp. 738-750

Persistent link: https://www.econbiz.de/10001634496

The value premium and economic activity : long-run evidence from the United States

Black, Angela J.; Mao, Bin; McMillan, David G. - In: The journal of asset management 10 (2009/10) 5, pp. 305-317

Persistent link: https://www.econbiz.de/10003916941

Forecasting stock returns : do commodity prices help?

Black, Angela J.; Klinkowska, Olga; McMillan, David G.; … - In: Journal of forecasting 33 (2014) 8, pp. 627-639

Persistent link: https://www.econbiz.de/10011282841

Asymmetric risk premium in value and growth stocks

Black, Angela J.; McMillan, David G. - In: International review of financial analysis 15 (2006) 3, pp. 237-246

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Are international value premiums driven by the same set of fundamentals?

Black, Angela J.; Fraser, Patricia; McMillan, David G. - In: International review of economics & finance : IREF 16 (2007) 1, pp. 113-129

Persistent link: https://www.econbiz.de/10003461536

The existence and source of stock return predictability : evidence from dividend, output and consumption ratios

McMillan, David G.; Black, Angela J.; Klinkowska, Olga; … - In: The journal of asset management 16 (2015) 3, pp. 186-208

Persistent link: https://www.econbiz.de/10011413295

Cointegration between stock prices, dividends, output and consumption : evidence and forecasting ability for 29 markets

Black, Angela J.; McMillan, David G.; McMillan, Fiona J. - In: Review of accounting & finance 14 (2015) 1, pp. 81-103

Persistent link: https://www.econbiz.de/10010518777