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Stock-Bond Return Dynamic Correlation and Macroeconomic Announcements : Time-Scale Analysis and the Effects of Financial Crises

Al Rababa'a, Abdel Razzaq - 2018

We use wavelet analysis to examine the impact of macro-news announcements on the stock-bond correlation. Significant announcement effects appear after controlling for the recent financial crisis, with a link between the speed of reaction and the timing of announcements, with early released news...

Persistent link: https://www.econbiz.de/10012919223

The existence and source of stock return predictability : evidence from dividend, output and consumption ratios

McMillan, David G.; Black, Angela J.; Klinkowska, Olga; … - In: The journal of asset management 16 (2015) 3, pp. 186-208

Persistent link: https://www.econbiz.de/10011413295

Stock return predictability : using the cyclical component of the price ratio

McMillan, David G. - In: Research in international business and finance 48 (2019), pp. 228-242

Persistent link: https://www.econbiz.de/10012135904

Equity-bond returns correlation and the bond yield : evidence of switching behaviour from the G7 markets

Humpe, Andreas; McMillan, David G. - In: Credit and capital markets : Kredit und Kapital 49 (2016) 3, pp. 415-444

Persistent link: https://www.econbiz.de/10011555125

Modelling time-variation in the stock return-dividend yield predictive equation

McMillan, David G. - In: Financial markets, institutions & instruments 23 (2014) 5, pp. 273-302

Persistent link: https://www.econbiz.de/10010516099

Non-parametric estimation of copula parameters : testing for time-varying correlation

Gong, Jinguo; Wu, Weiou; McMillan, David G.; Shi, Daimin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 93-106

Persistent link: https://www.econbiz.de/10011311193

Forecasting stock returns : do commodity prices help?

Black, Angela J.; Klinkowska, Olga; McMillan, David G.; … - In: Journal of forecasting 33 (2014) 8, pp. 627-639

Persistent link: https://www.econbiz.de/10011282841

Insider employee stock option trading and stock prices

McMillan, David G.; Tavakoli, Manouchehr; McKnight, … - In: The European journal of finance 20 (2014) 1/3, pp. 59-79

Persistent link: https://www.econbiz.de/10010462205

Stock return, dividend growth and consumption growth predictability across markets and time :implications for stock price movement

McMillan, David G. - In: International review of financial analysis 35 (2014), pp. 90-101

Persistent link: https://www.econbiz.de/10010529621

The information content of the stock and bond return correlation

McMillan, David G. - In: Quantitative finance and economics 2 (2018) 3, pp. 757-775

Persistent link: https://www.econbiz.de/10012156853

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