This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

I study the effect of observable predictors that imperfectly predict conditional expected stock returns on optimal life-cycle consumption and portfolio choice in the presence of undiversifiable labor income risk. Investors filter the unobservable expected stock returns from realized predictive...

From standard portfolio-choice theory it is well-understood that background risk, overwhelmingly due to wage risk, is one of the central determinants of individuals’ portfolio composition: higher background risk reduces risky investments. However, if background risk is negatively correlated...

We study the impact of news embedded in scheduled macroeconomic announcements on the government bond market in Poland and the Czech Republic. We conduct an event study on intraday data and time-series regressions using daily data over an eight-year period, distinguishing between effects under...

This paper adopts a novel approach to studying the evolution of interest rate term structure over the U.S. business cycles and to predicting recessions. Applying an effective algorithm, I classify the Treasury yield curve into distinct shapes and find the less frequent shapes intrinsically...

This purpose of this paper is to present the expected equity returns for the Indian stock market for the benefit of investors, who may then compare such returns with actual market returns to evaluate whether the Indian stock market provides returns in excess of expectations. Both the capital...

German open-ended real estate funds have net asset values that sum up to €120 bln invested in Germany and abroad. To increase transparency in this dominant investment sector within Germany, IPD has extended the available performance fund indices and now publishes a fund indicator covering the...

In this paper we apply cointegration and Granger-causality analyses to construct linear and neural network error-correction models for an Austrian Initial Public Offerings IndeX (IPOXATX). We use the significant relationship between the IPOXATX and the Austrian Stock Market Index ATX to forecast...