Using a novel measure of industry exposure to government spending, we document predictable variation in cash flows and stock returns over political cycles. During Democratic presidencies, firms with high government exposure experience higher cash flows and stock returns, while the opposite...

Is the stock market responsive to macroeconomic news? This paper employs the daily returns of the Dow Jones Industrial Index, the S&P 500 index, the Russell 1000 index, and the Russell 2000 index to examine stock market reactions to a broad list of macroeconomic announcements, including money...

Measurement errors and structural breaks are important factors affecting the forecasting accurancy of volatility in the oil futures market. To capture these key points in one uniform forecasting model, we propose the MRS-HARQ-type model by simultaneously introducing the modification of...