account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression … of Professional Forecasters. The results show that forecast changes are governed by overreaction. However, overreaction …

forecasts - to the ex post and ex ante prediction of stock price bubbles. For a panel of six OECD economies covering 24 years …, two alternative binary chronologies of bubble periods are determined and subjected to panel logit regressions conditioning …

finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to … of conditional information, and reviews an arbitrage pricing theory for large dimensional factor models in this framework … diagnosing model specification, estimating conditional risk premia, and testing asset pricing restrictions under increasing cross …

of the biggest (larger capitalisation) European stocks over a 15-year period, from 2004 to 2019, and using a panel data … consensus target prices have no predictive power over future market prices. Our panel results are robust to company fixed …

This paper considers alternative approaches to the analysis of large panel data models in the presence of error cross …