Spread's predictive ability is reviewed by implementing a number of linear and probit models. We conduct a comparative analysis of the forecasting performance of various specifications by focusing on the last three major US economic slowdowns. The results indicate that although linear models are...

The equity premium of the S&P 500 Index is explained in this paper by several variables that can be grouped into fundamental, behavioral and macroeconomic factors. We hypothesize that the statistical significance of these variables changes across economic regimes. The three regimes we consider...

The behavior of gold as an investment asset has been researched extensively. For the very long run, that is several decades, gold does not outperform equities. However, for shorter periods, gold responds to fears of inflation, stock market corrections, currency crises and financial instabilities...