This paper investigates how stock-specific and market-wide news sentiments, obtained from Thomson Reuters News Analytics, affect abnormal returns of S&P 500 stocks. It is well-known that the relationships between the stock-specific news sentiment and raw stock returns are rather weak. This can...

We implement a recursive out-of-sample method to examine anomalies-based ex-ante predictability in the cross-section of stock returns. We obtain a series of simulated out-of-sample returns, consistent with investors using only prior information when choosing predictor variables. We find that, by...

This article is the first formal investigation of consumer attitudes that compares the forecasting power of the University of Michigan's Index of Consumer Sentiment and the Conference Board's Consumer Confidence Index. The authors find that measures available from the Conference Board have both...

The paper develops empirical implementations of the standard time-varying Panel Bayesian VAR model to deal with confounding and latent effects. Bayesian computations and mixed hierarchical distributions are used to generate posteriors of conditional impulse responses and conditional forecasts....

Temporal climate risk weighs heavily on many of the world's poor. Model-based climate forecasts could benefit such populations, provided recipients use forecast information to update climate expectations. We test whether pastoralists in southern Ethiopia and northern Kenya update their...

In this paper, we make multi-step forecasts of the annual growth rates of the real GRP for each of the 31 Chinese provinces simultaneously. Beside the usual panel data models, we use panel models that explicitly account for spatial dependence between the GRP growth rates. In addition, the...

In this paper, we make multi-step forecasts of the annual growth rates of the real GRP for each of the 31 Chinese provinces simultaneously. Beside the usual panel data models, we use panel models that explicitly account for spatial dependence between the GRP growth rates. In addition, the...

This paper analyzes the role played by financial assets, direct real estate, and the Fama and French factors in explaining EREIT returns and examines the usefulness of these variables in forecasting returns. Four models are analyzed and their predictive potential is assessed by comparing three...

We analyze the impacts of alternative submarket definitions when predicting house prices in a mass appraisal context, using both ordinary least squares (OLS) and geostatistical techniques. For this purpose, we use over 13,000 housing transactions for Louisville, Kentucky. We use districts...

In this paper, we make multi-step forecasts of the monthly growth rates of the prices and rents for flats in 26 largest German cities. Given the small time dimension, the forecasts are done in a panel-data format. In addition, we use panel models that account for spatial dependence between the...