This paper explores the hypothesis that the returns of asset classes can be predicted using common, systematic risk factors represented by the level, slope, and curvature of the US interest rate term structure. These are extracted using the Nelson-Siegel model, which effectively captures the...

A mixture innovation time-varying parameter VAR model is used to examine the impact of structural oil price shocks on U.S. stock market return. Time variation is evident in both the coefficients and the variance-covariance matrix. The standard deviations of the demand side structural shocks...

Recent evidence indicates the value premium declined over time. In this paper, we argue this decline happened because book equity, BE, is no longer a good proxy for fundamental equity, FE, defined as the equity value originating purely from expected cash flows (i.e., no discount rate differences...

This paper examines the relationship between news coverage and Bitcoin returns. Previous studies have provided evidence to suggest that macroeconomic news affects stock returns, commodities and interest rates. We extend the approach developed by Birz and Lott [2011] to examine the hypothesis...

This study examines the relationship between corporate real estate (CRE) holdings and stock returns before and after the Global Financial Crisis (GFC). We find that (1) the United States and the United Kingdom show a negative relationship before the GFC and positive after the GFC. (2) Firms that...

We have seen China's growing role in the past decades, and the world economy has become more exposed to the influence of China. This paper explores emerging China's impact on the global equity market through the lens of asset pricing. We study the predictive properties of the lagged China...

Empirical event studies estimate that Large Scale Asset Purchases (LSAP) push down long-term interest rates through the portfolio balance channel. However, since portfolio reallocation takes time to materialise, a longer horizon may be more appropriate to assess the effects of LSAP. With a...

We conduct a decomposition for the stock market return by incorporating the information from 124 macro variables. Using factor analysis, we estimate six common factors and run a VAR containing these factors and financial variables such as the market dividend yield and the T-bill rate. Including...

This paper examines the impact of structural oil price shocks on the covariance of U.S. stock market return and stock market volatility. We construct from daily data on return and volatility the covariance of return and volatility at monthly frequency. The measures of daily volatility are...

This paper evaluates in-sample and out-of-sample stock return predictability with inflation and output gap, the variables that typically enter the Federal Reserve Bank's interest rate setting rule. To examine the role of monetary policy fundamentals for stock return predictability, we introduce...