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Cointegration between stock prices, dividends, output and consumption : evidence and forecasting ability for 29 markets

Black, Angela J.; McMillan, David G.; McMillan, Fiona J. - In: Review of accounting & finance 14 (2015) 1, pp. 81-103

Persistent link: https://www.econbiz.de/10010518777

Forecasting stock returns : do commodity prices help?

Black, Angela J.; Klinkowska, Olga; McMillan, David G.; … - In: Journal of forecasting 33 (2014) 8, pp. 627-639

Persistent link: https://www.econbiz.de/10011282841

The existence and source of stock return predictability : evidence from dividend, output and consumption ratios

McMillan, David G.; Black, Angela J.; Klinkowska, Olga; … - In: The journal of asset management 16 (2015) 3, pp. 186-208

Persistent link: https://www.econbiz.de/10011413295

Long run trends and volatility spillovers in daily exchange rates

Black, Angela J.; McMillan, David G. - In: Applied financial economics 14 (2004) 12, pp. 895-907

Persistent link: https://www.econbiz.de/10002150770

Forecasting Stock Returns : Do Commodity Prices Help?

Black, Angela J. - 2014

This paper examines the relationship between stock prices and commodity prices and whether this can be used to forecast stock returns. As both prices are linked to expected future economic performance they should exhibit a long-run relationship. Moreover, changes in sentiment towards commodity...

Persistent link: https://www.econbiz.de/10013050821