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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

ABSTRACT This paper examines the relationship between stock prices and commodity prices and whether this can be used to forecast stock returns. As both prices are linked to expected future economic performance they should exhibit a long‐run relationship. Moreover, changes in sentiment towards...

Persistent link: https://www.econbiz.de/10011085358

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

Time-varying correlations and interrelations : firm-level-based sector evidence

Evans, P.; McMillan, David G.; McMillan, Fiona J. - In: The journal of asset management 18 (2017) 3, pp. 209-221

Persistent link: https://www.econbiz.de/10011704219

A truly market-value weighted commodity index

Ludwig, Michael; McMillan, David G.; McMillan, Fiona J. - In: The journal of asset management 18 (2017) 3, pp. 222-242

Persistent link: https://www.econbiz.de/10011704229

US bank market structure : evolving nature and implications

McMillan, David G.; McMillan, Fiona J. - In: Journal of financial services research : JFSR 50 (2016) 2, pp. 187-210

Persistent link: https://www.econbiz.de/10011667847

Cointegration between stock prices, dividends, output and consumption : evidence and forecasting ability for 29 markets

Black, Angela J.; McMillan, David G.; McMillan, Fiona J. - In: Review of accounting & finance 14 (2015) 1, pp. 81-103

Persistent link: https://www.econbiz.de/10010518777

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

The interaction between risk, return-risk trade-off and complexity: Evidence and policy implications for US bank holding companies

McMillan, David G.; McMillan, Fiona J. - In: Journal of international financial markets, … 47 (2017), pp. 103-113

Persistent link: https://www.econbiz.de/10011892256

Is there a risk and return relation?

Fifield, S. G. M.; McMillan, David G.; McMillan, Fiona J. - In: The European journal of finance 26 (2020) 11, pp. 1075-1101

Persistent link: https://www.econbiz.de/10012264949