Literature Review -- Return Predictability and the Real Economy -- Study Design and Data -- Empirical Part I - Testing for Predictability -- Forecasting Models -- Empirical Part II - Investment Strategies -- Conclusion

Earnings forecasts can be useful for investment decisions. Research on earnings forecasts has focused on forecast performance in relation to firm characteristics, on categorizing the analysts into groups with similar behaviour and on the effect of an earnings announcement by thefirm on future...

When the yield curve is modelled using an affine factor model, residuals may still contain relevant information and do not adhere to the familiar white noise assumption.This paper proposes a pragmatic way to improve out of sample performance for yield curve forecasting. The proposed adjustment...

This paper presents a new framework allowing strategic investors to generate yield curve projections contingent on expectations about future macroeconomic scenarios. By consistently linking the shape and location of yield curves to the state of the economy our method generates predictions for...

There is widespread evidence of excess return predictability in .nancial markets. In this paper we examine whether this predictability is related to expectational errors. To consider this issue, we use data on survey expectations of market participants in the stock market, the foreign exchange...