This paper examines return predictability of the U.S. stock market using portfolios sorted by size, book-to-market ratio, and industry. A novel panel variance ratio test is proposed and employed to evaluate time-varying return predictability from 1964 to 2011. It is found that the stock returns...

We find strong evidence that U.S. common stocks have been a hedge against inflation from the early 1980's. We use monthly S&P500 and Dow-Jones Industrial indices from 1900, and test whether stock price and goods price are co-integrated over time. We find a stable long run relationship between...

This paper critically evaluates the significant weather effect on stock return reported in two seminal studies of investors' mood on stock market. It is found that their research design of maximizing statistical power by pooling as many data points as possible is statistically flawed, with a...

This paper analyzes the degree of return predictability (or weak-form informational efficiency) of Dow Jones Islamic and conventional size and sector-indices using the data from 1996 to 2013. Employing the automatic portmanteau and variance ratio tests for the martingale difference hypothesis of...

Our model decomposes the exchange rate exposure into two parts; individual and systematic ones. The former is the residual one that the past studies have mainly examined. The latter is the product of the exposure of the market portfolio and a firm's market beta, which reflects the exogenous...