Recent theoretical work suggests that signs of asset returns are predictable given that their volatilities are. This is the first paper to investigate whether the demand for information, approximated by the daily internet search volume index (SVI) from Google, can enhance volatility forecasts...

The literature on stock return predictability has identified macroeconomic and technical predictors that when combined, leads to out-of-sample outperformance relative to the historical mean null. This paper investigates a new method for aggregating information beyond using forecast combination...

Using the long-term wavelet component of monthly S&P 500 excess returns as supervision information, we employ a machine learning method to extract the common predictive information of 14 prevalent macroeconomic variables, and construct a new macroeconomic index aligned for predicting stock...

Stock and options markets can disagree about a stock's value because of informed trading in options and/or price pressure in the stock. The predictability of stock returns based on this cross- market discrepancy in values is especially strong when accompanied by stock price pressure, and it does...

Stock market predictability is of considerable interest in both academic research and investment practice. Ross (2005) provides a simple and elegant upper bound on the predictive regression R-squared that R^2 = (1 R_f)^2 Var(m) for a given asset pricing model with kernel m, where R_f is the...

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

A large literature has investigated predictability of the conditional mean of low frequency stock returns by macroeconomic and financial variables; however, little is known about predictability of the conditional distribution. We look at one-step-ahead out-of-sample predictability of the...