We study the impact of the 1918 Spanish Flu on U.S. stock prices. We use the death rate to control for the impact of the global pandemic and war news reported in the New York Times to capture the positive effects of the end of World War I on stock prices. Using a new weekly hand collected NYSE...

Predicting long-term equity market returns is of great importance for investors to strategically allocate their assets. We apply machine learning methods to forecast 10-year-ahead U.S. stock returns and compare the results to traditional Shiller regression-based forecasts more commonly used in...

The accuracy of U.S. stock return forecasts based on the cyclically-adjusted P/E (CAPE) ratio has deteriorated since 1985. The issue is not the CAPE ratio, but CAPE regressions that assume it reverts mechanically to its long-run average. Our approach conditions mean reversion in the CAPE ratio...

We study the impact of the 1918 Spanish Flu on U.S. stock prices. Using a new weekly hand collected sample of 136 firms that traded on the NYSE, we examine the impact of the four waves of the flu on stock returns using panel regressions. The second and fourth wave of the pandemic significantly...