Campbell and Shiller average 10 years of real S&P 500 earnings to construct its Cyclically Adjusted P/E ratio, or CAPE, which they then use to forecast its future 10-year returns. In essence, Campbell and Shiller kill two birds with one large stone - they use the 10-year average to reduce noise...

There are numerous studies that examine the impact of social media on the stock market performance but there is a paucity of such evidences from the emerging economies. Today many multinational banks and other financial conglomerates from the developed countries are expanding their operations to...

Geopolitical events are widely reported in the press and may influence the risk premium demanded by investors in addition to demand and supply of energy resources. Using the daily geopolitical risk index of Caldara and Iacoviello (2018), we demonstrate that geopolitical risk plays an important...

In the paper we analyze determinants of the capital market beta risk in Poland in the monthly period 1996-2002. The beta risk is measured as a time-varying parameter estimated in a regression of the Warsaw stock indexes (WIG and WIG20 separately) on major foreign stock market indexes (DJIA,...

Given that changes in oil prices influence the observable factors in GCC economies, this paper shows unobservable speculative factors that drive short-term stock market returns in Saudi and Bahrain markets.1 For other GCC markets, such as Dubai, Abu-Dhabi, and Muscat, oil price uncertainty and...

In the paper we analyze determinants of the capital market beta risk in Poland in the monthly period 1996-2002. The beta risk is measured as a time-varying parameter estimated in a regression of the Warsaw stock indexes (WIG and WIG20 separately) on major foreign stock market indexes (DJIA,...