We employ probit models to study the predictability of recession periods in Finland using a set of commonly used variables based on previous literature. The findings point out that individual predictors, including the term spread and the real housing prices from the capital area, are useful...

In this paper, we examine the directional predictability of excess stock market returns by lagged excess returns from industry portfolios and a number of other commonly used variables by means of dynamic probit models. We focus on the directional component of the market returns because, for...

We study the role of real oil prices on the directional predictability of excess stock market returns in the U.S. and ten other countries using probit models. Previous studies have shown that oil price shocks have adverse effects on stock returns. We extend this literature by focusing on the...