This paper shows that economic fundamentals can generate reliable out-of-sample forecasts for exchange rates when prediction is based on a "kitchen-sink" regression that incorporates multiple predictors. The key to establishing predictability is estimating the kitchen-sink regression with the...

This paper shows that the equity premium is predictable out of sample when we use a predictive regression that conditions on a large set of economic fundamentals, subject to: (i) economic constraints on the sign of coefficients and return forecasts, and (ii) statistical constraints imposed by...

A number of alternative mean-variance portfolio strategies have been recently proposed to improve the empirical performance of the classic Markowitz mean-variance framework. Designed as remedies for parameter uncertainty and estimation errors in portfolio selection problems, these alternative...

Measuring the quantitative effects of monetary policy on the economy has been playing a central role in promoting economic growth and stability. However, in the presence of numerous macroeconomic variables, traditional vector autoregression (VAR) could only accommodate a few data series, and...

In a data-rich environment, forecasting economic variables amounts to extracting and organizing useful information out of a large number of predictors. So far dynamic factor model and its variants have been the most successful models for such exercises. In this paper, we investigate a category...

This paper shows that economic fundamentals can generate reliable out-of-sample forecasts for exchange rates when prediction is based on a "kitchen-sink" regression that incorporates multiple predictors. The key to establishing predictability is estimating the kitchen-sink regression with the...

We investigate whether increased investor demand for financial information arising from higher market uncertainty leads to greater media coverage of earnings announcements. We also investigate whether greater coverage during times of higher uncertainty further destabilizes financial markets...

We separate the forecasted one-year-ahead stock return implied by an analyst's target price into two parts: the expected compensation for bearing risk, and analyst-claimed mispricing. We use the cost of equity disclosed by analysts in their reports for the former, and the difference between the...

Given the lack of diversity among senior executives of U.S. public companies, we investigate whether ethnic minority analysts face unique barriers to management access. We find managers are less likely to select minority analysts to participate in the Q&A session of public earnings conference...