Jing, Xiaozhen; Xu, Dezhong; Li, Bin; Singh, Tarlok - In: Financial innovation : FIN 10 (2024), pp. 1-27
We propose a new predictor - the innovation in the daily return minimum in the U.S. stock market () - for predicting international stock market returns. Using monthly data for a wide range of 17 MSCI international stock markets during the period spanning over half a century from January 1972 to...
