Chapter 1: Why do we forecast? -- Chapter 2: Regression Analysis and Forecasting Models -- Chapter 3: An Introduction to Time Series Modeling and Forecasting -- Chapter 4: Regression Analysis and Multicollinearity: Two Case Studies -- Chapter 5: Multiple Time Series Analysis and Causality...

Motivated from investment-based asset pricing, we propose a new factor model that consists of the market factor, a size factor, an investment factor, and a return-on-equity factor. The new model [i] outperforms the Carhart (1997) four-factor model in pricing portfolios formed on earnings...