We examine whether mandatory research and development (R&D) investments disclosure matters to analyst forecast accuracy. Using a difference-in-differences research design, we document a significant decrease in forecast errors for firms that previously chose not to disclose R&D investments but...

Using a large number of predictors and based on an extended iterated combination approach of Lin, Wu, and Zhou (2017), we document both statistical and economic significance of Treasury bond return predictability. Macroeconomic and aggregate liquidity variables contain predictive information for...

While economic variables have been used extensively to forecast bond risk premia, little attention has been paid to technical indicators which are widely used by practitioners. In this paper, we study the predictive ability of a variety of technical indicators vis-a-vis the economic variables....

We use machine learning tools to analyze industry return predictability based on theinformation in lagged industry returns from across the entire economy. Controlling forpost-selection inference and multiple testing, we nd significant in-sample evidence ofindustry return predictability. Lagged...