I examine the ability of equity market illiquidity to predict Australian macroeconomic variables, between 1976 and 2010. In contrast to existing, U.S.-based, studies, I find that stock market illiquidity does not, on average, have much predictive power over economic growth. Consistent with the...

Contemporaneous evidence of corporate revenue and profit forecasting error is provided in a different institutional context, Australian sharemarket initial public offerings. This article extends the literature on company forecast risk by incorporating new proxies for forecasting error (float...

A security's liquidity properties have been studied in terms of mean and variance: liquidity level and liquidity risk, respectively. This paper explores tail events, liquidity disaster risk. Liquidity might not be a worry to investors in normal market conditions, but it does become a first-order...

We apply a number of forecasting models to Australian Government Bond yields. All methods rely solely on the history of yields. Consistent with findings from US Treasury data, we show that the simplest forecasting models across all maturities and forecasting horizons are also generally the best:...

This paper examines the predictive performance of a range of financial, economic, and sentiment variables that may predict the Australian All Ordinaries index equity risk premium using data for the last 28 years (1992–2020). The methods employed address a range of potential econometric biases...

Fine wine and alcohol prices can be predicted, but the accuracy of the prediction depends on the chosen forecasting horizon. In our study, we analyse the fine wine indices, as well as the retail and wholesale alcohol prices in the US from January 1992 to March 2022. We use comprehensive datasets...

This paper reconsiders the effect of investor sentiment on stock prices. Using survey-based sentiment indicators from Germany and the US we confirm previous findings of predictability at intermediate time horizons. The main contribution of our paper is that we also analyze the immediate price...

Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...

We use weekly survey data on short-term and medium-term sentiment of German investors in order to study the causal relationship between investors' mood and subsequent stock price changes. In contrast to extant literature for other countries, a tri-variate vector autoregression for short-run...