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Predicting Stock Returns : Implications for Asset Pricing

McMillan, David G. - 2018

, Earnings, Dividends and Cointegration -- Chapter 3. Forecasting Stock Returns - Historical Mean vs. Dividend Yield: Rolling …

Persistent link: https://www.econbiz.de/10012397752

Pecking order and market timing theory in emerging markets : the case of Egyptian firms

Allini, Alessandra; Rakha, Soliman; McMillan, David G.; … - In: Research in international business and finance 44 (2018), pp. 297-308

Persistent link: https://www.econbiz.de/10011983049

When and why do stock and bond markets predict US economic growth?

McMillan, David G. - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 331-343

Persistent link: https://www.econbiz.de/10012655482

Non-linear predictability in stock and bond returns : when and where is it exploitable?

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2008

We systematically examine the comparative predictive performance of a number of alternative linear and non-linear models for stock and bond returns in the G7 countries. Besides Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STAR) regime switching...