We assess financial theory-based and machine learning-implied measurements of stock risk premia by comparing the … preferable to rely on a theory-based approach instead of engaging in the computerintensive hyper-parameter tuning of statistical … models. The theory-based approach also delivers a solid performance at the one year horizon, at which only one machine …

Based on data until the mid 2000s, oil price changes were shown to predict international equity index returns with a … years and therefore has not been stable over time. We then posit that oil price changes are still useful for forecasting … VAR approach, we decompose oil price changes into oil supply shocks, global demand shocks, and oil-specific demand shocks …

. Our work is directly applicable to UK price controls …