We investigate whether stock returns of international markets are predictable from a range of fundamentals including key financial ratios (dividend-price ratio, dividend-yield, earnings-price ratio, dividend-payout ratio), technical indicators (price pressure, change in volume), and short-term...

We find strong evidence that U.S. common stocks have been a hedge against inflation from the early 1980's. We use monthly S&P500 and Dow-Jones Industrial indices from 1900, and test whether stock price and goods price are co-integrated over time. We find a stable long run relationship between...

This paper critically evaluates the significant weather effect on stock return reported in two seminal studies of investors' mood on stock market. It is found that their research design of maximizing statistical power by pooling as many data points as possible is statistically flawed, with a...

We conduct the extreme bounds analysis (EBA) to evaluate the robustness or fragility of a range of stock market anomalies, using U.S. daily data from 1960. The EBA is a large-scale sensitivity analysis, able to isolate the effects of potential data-mining or p-hacking under model uncertainty....