We show that the ability of oil price changes to predict stock returns is largely limited to five extreme geopolitical events: the 2022 invasion of Ukraine, the 2003 invasion of Iraq, the 1990/91 Persian gulf war, the 1986 OPEC collapse, and the 1973 Arab-Israel war. In the counterfactual...

We show that the ability of oil price changes to predict stock returns is largely limited to five extreme geopolitical events: the 2022 invasion of Ukraine, the 2003 invasion of Iraq, the 1990/91 Persian gulf war, the 1986 OPEC collapse, and the 1973 Arab-Israel war. In the counterfactual...

We analyze the performance of investable portfolios built using predicted stock returns from machine learning methods and attribute their performance to linear, marginal non-linear and interaction effects. We use a large set of features including price-based, fundamental-based, and...

Recently many research articles have focused on the prediction of stock returns using machine learning methods. All show that regression trees and neural networks have superior predicting power than linear models. In this paper we analyze the performance of investable portfolios built using...

Using a newly constructed survivorship-bias free dataset, I examine the performance and persistence of all Norwegian equity mutual funds that have been listed on the Oslo Stock Exchange between 1982 and 2008. Controlling for the factors in the Fama-French model, there is no statistically...