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Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables

Nonejad, Nima - In: Journal of empirical finance 70 (2023), pp. 91-122

Persistent link: https://www.econbiz.de/10014423619

A forecast evaluation of expected equity return measures

Chin, Michael; Polk, Christopher - 2015

Persistent link: https://www.econbiz.de/10010497568

Can financial uncertainty forecast aggregate stock market returns?

Henry, Ólan Thomas John; Kerestecioglu, Semih; Pybis, Sam - In: Financial markets, institutions & instruments 33 (2024) 2, pp. 91-111

Persistent link: https://www.econbiz.de/10014532257

Incorporating economic policy uncertainty in US equity premium models : a nonlinear predictability analysis

Bekiros, Stelios; Gupta, Rangan; Majumdar, Anandamayee - In: Finance research letters 18 (2016), pp. 291-296

Persistent link: https://www.econbiz.de/10011657223

Climate risk exposure and the cross-section of Chinese stock returns

Zhang, Yaojie; He, Mengxi; Liao, Cunfei; Wang, Yudong - In: Finance research letters 55 (2023) 2, pp. 1-7

Persistent link: https://www.econbiz.de/10014473512

Cross-asset return predictability : carry trades, stocks and commodities

Lu, Helen; Jacobsen, Ben - In: Journal of international money and finance 64 (2016), pp. 62-87

Persistent link: https://www.econbiz.de/10011668380

Commodity return predictability : evidence from implied variance, skewness, and their risk premia

Finta, Marinela Adriana; Ornelas, José Renato Haas - In: Journal of international financial markets, … 79 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013358775

International volatility risk and Chinese stock return predictability

Chen, Jian; Jiang, Fuwei; Liu, Yangshu; Tu, Jun - In: Journal of international money and finance 70 (2017), pp. 183-203

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The cross section of country equity returns : a review of empirical literature

Zaremba, Adam - In: Journal of risk and financial management : JRFM 12 (2019) 4/165, pp. 1-26

The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or momentum, but also demonstrated some unique...

Persistent link: https://www.econbiz.de/10012171448

Do anomalies really predict market returns? : new data and new evidence

Cakici, Nusret; Fieberg, Christian; Metko, Daniel; … - In: Review of finance : journal of the European Finance … 28 (2024) 1, pp. 1-44

Persistent link: https://www.econbiz.de/10014527106