This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...

Die Berücksichtigung der zukünftigen Entwicklung des Wechselkurses ist sowohl für internationale Unternehmen als auch für international tätige Investoren unabdingbar. Allerdings ist die Erstellung von Wechsel- kursprognosen schwierig, da bis zum heutigen Zeitpunkt kein allgemein anerkanntes...

We propose a new predictor - the innovation in the daily return minimum in the U.S. stock market () - for predicting international stock market returns. Using monthly data for a wide range of 17 MSCI international stock markets during the period spanning over half a century from January 1972 to...

The study benchmarks four machine-learning algorithms- Random Forest, XGBoost, CatBoost and Long Short-Term Memory (LSTM) networks-for forecasting stock market liquidity in Germany's DAX equity market. Using data from January 2006 to May 2025, a Liquidity Score is constructed as a...

We investigate if unemployment fluctuations generate predictability in the cross-section of currency excess returns. To assess the predictability exerted by unemployment fluctuations, we sort currencies according to past growth in the unemployment rate. We find that an investment strategy which...

This paper employs the post — Least Absolute Shrinkage and Selection Operator (post — LASSO) to make rolling 1-month--ahead currency excess return forecasts using all other currencies' lagged forward discounts as candidate predictors. The trading strategy of buying (selling) quintile...