Existing research indicates that it is possible to forecast potential long-term returns in the S&P 500 for periods of more than 10 years using the cyclically adjusted price-to-earnings ratio (CAPE). This paper concludes that this relationship has also existed internationally in 17 MSCI Country...

Warren Buffett suggested that the ratio of the market value of all publicly traded stocks to the Gross National Product could identify potential overvaluations and undervaluations in the US equity market. We investigate whether this ratio is a statistically significant predictor of equity market...

This study presents international evidence on the dividend month premium. In the US, Hartzmark and Solomon (2013) find abnormally high returns during the months when stocks are predicted to pay a dividend. We test for this predicted dividend month premium in eleven developed markets, including...

In this paper, we extend the literature on crash prediction models in three main ways. First, we explicitly relate crash prediction measures and asset pricing models. Second, we present a simple, effective statistical significance test for crash prediction models. Finally, we propose a...

The leverage aversion theory implies that returns to the betting-against-beta (BAB) strategy are predictable by past market returns: An outward shift in investors' aggregate demand function simultaneously increases market prices and increases the expected future BAB return. I confirm the...

Predicting stock market crashes and corrections is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly on mature financial markets. In this paper, we investigate whether fundamental crash predictors, the price-to-earnings ratio, the...

This study aims to offer a new explanation for the momentum effect in international government bonds. Using cross-sectional and time-series tests, we examine a sample of bonds from 22 countries for the years 1980 through 2018. We document significant momentum profits that are not attributable to...

Stock prices are one of the most volatile economic variables and forecasting stock prices and their returns has proved very challenging, if not impossible. In this paper, we apply a battery of linear and nonlinear models to forecast the returns in nine international stock exchanges for the...

We investigate the stock market crashes in China, Iceland, and the US in the 2007-2009 period. The bond stock earnings yield difference model is used as a prediction tool. Historically, when the measure is too high, meaning that long bond interest rates are too high relative to the trailing...