This paper evaluates whether the primary and secondary dissemination of earnings forecast revisions by security analysts is reflected in security prices. Security prices were used to determine the profitability (before the cost of search) of trading strategies based on the nonpublic knowledge of...

In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices, and blamed investment in commodity-related products for this. First, this paper investigates such claims by looking at various measures of correlation. Next, we assess what are...

This paper documents that factors extracted from a large set of macroeconomic variables bear useful information for predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression models improve upon both benchmark models that only...

While the predictability of excess stock returns is detected by traditional predictive regressions as statistically small, the direction-of-change and volatility of returns exhibit a substantially larger degree of dependence over time. We capitalize on this observation and decompose the returns...

A set of multivariate GARCH models is estimated and its empirical validity is compared from the calculation of the Value at Risk. Data used are the daily returns of the nominal exchange rate of the Colombian peso vis-a-vis the American dollar, euro, sterling and Japanese yen for the period...

We evaluate the performance of several linear and nonlinear machine learning models in forecasting the realized volatility (RV) of ten global stock market indices in the period from January 2000 to December 2021. We train models using a dataset which includes past values of the RV and additional...

We show that uncertainty of monetary policy (MPU) commands a risk premium in the US Treasury bond market. Using the news based MPU measure in Baker, Bloom, and Davis (2016) to capture monetary policy uncertainty, we find that MPU forecasts significantly and positively future monthly Treasury...

We investigate the impact of China's economic policy uncertainty (EPU) on the time series variation of Chinese stock market expected returns. Using the news based measure in Baker, Bloom, and Davis (2016), we find that EPU predicts negatively future stock market return at various horizons. This...

This paper presents the first comparison of the accuracy of density forecasts for stock prices. Six sets of forecasts are evaluated for DJIA stocks, across four forecast horizons. Two forecasts are risk-neutral densities implied by the Black-Scholes and Heston models. The third set are...