Jiang, Fuwei; Jin, Fujing; Liu, Hongkui; Yu, Jiasheng - 2023
We propose a global expected business cycle condition factor (GEBC) relying on OECD leading economic indicators of 18 stock markets through Principal Component Analysis (PCA) approach, and show that this index is a powerful predictor for stock returns around the globe both in- and out-of-sample....
