This study documents simple trading strategies that predict stock returns using the sentiment information of labor market related news articles. I identify the average sentiment scores of labor market related news articles of each firm daily and use them to predict stock returns. Unlike the...

This paper evaluates the predictability of monthly stock return using out-of-sample (multi-step ahead and dynamic) prediction intervals. Past studies have exclusively used point forecasts, which are of limited value since they carry no information about the intrinsic predictive uncertainty...