Using data on international, on-line media coverage and tone of the Brexit referendum, we test whether it is media coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of weekly FTSE 100 stock returns. We find that versions of...

This paper introduces a new sentiment-augmented asset pricing model and provides a com-prehensive understanding of the role of this sentiment-driven risk factors. We find that news andsocial media search-based indicators are significantly related to excess returns of internationalequity...

We analyze the recursive, out-of-sample performance of asset allocation decisions based on financial ratio-predictability under single-state linear and regime-switching models. We adopt both a statistical perspective to analyze whether models based on the dividend-price, earning-price, and...

A recent literature has shown that REIT returns contain strong evidence of bull and bear dynamic regimes that may be best captured using nonlinear econometric models of the Markov switching type. In fact, REIT returns would display regime shifts that are more abrupt and persistent than in the...

We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...