This paper addresses the out-of-sample prediction of European Monetary Union yield spread changes. We extend the Longstaff and Schwartz (1995) approach by using liquidity variables, namely funding liquidity as measured by European Central Bank's unconventional monetary policy as well as a...

We examine how oil market variables affect short-term stock market returns in the U.S. and in six other major oil-importing countries. Apart from oil price direction, we also consider oil market volatility and liquidity. Analysis of daily returns during the 2007 to 2017 period reveals that oil...

This paper contributes to the equity premium prediction literature by studying the performance of rarely not researched predictors. To do so, we analyze the ability of state-of-the-art liquidity and uncertainty predictors to beat the historical average when forecasting the monthly U.S. equity...