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Portfolio constituency rules and the value premium in the small-cap space

Scislaw, Kenneth E.; McMillan, David G. - In: Managerial finance 41 (2015) 5, pp. 418-436

Persistent link: https://www.econbiz.de/10011335043

Is Responsible Investment under-proportionally Researched?

Hoepner, Andreas G. F. - 2016

We contribute to the research policy literature by pioneering the development of a sufficiently reliable and generically applicable benchmarking approach for research area output quantity and/or quality. In our development, we overcome substantial structural problems such as the ignorance of...

Persistent link: https://www.econbiz.de/10013009299

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

Stock return predictability : using the cyclical component of the price ratio

McMillan, David G. - In: Research in international business and finance 48 (2019), pp. 228-242

Persistent link: https://www.econbiz.de/10012135904

Modelling time-variation in the stock return-dividend yield predictive equation

McMillan, David G. - In: Financial markets, institutions & instruments 23 (2014) 5, pp. 273-302

Persistent link: https://www.econbiz.de/10010516099

Non-parametric estimation of copula parameters : testing for time-varying correlation

Gong, Jinguo; Wu, Weiou; McMillan, David G.; Shi, Daimin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 93-106

Persistent link: https://www.econbiz.de/10011311193

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

Stock return, dividend growth and consumption growth predictability across markets and time :implications for stock price movement

McMillan, David G. - In: International review of financial analysis 35 (2014), pp. 90-101

Persistent link: https://www.econbiz.de/10010529621

Spillovers between output and stock prices : a wavelet approach

McMillan, David G.; Tiwari, Aviral Kumar - In: Studies in economics and finance 33 (2016) 4, pp. 625-637

Persistent link: https://www.econbiz.de/10011722563

Stock return predictability : the role of inflation and threshold dynamics

McMillan, David G. - In: International review of applied economics 31 (2017) 3, pp. 357-375

Persistent link: https://www.econbiz.de/10011762050