Stock prices are one of the most volatile economic variables and forecasting stock prices and their returns has proved very challenging, if not impossible. In this paper, we apply a battery of linear and nonlinear models to forecast the returns in nine international stock exchanges for the...

Investors in stock markets are concerned about the inflation effect on their returns. However, the impact varies based on investment horizons. Since investors have different attitudes and diverse investment horizons, studying the relationship between inflation and stock returns in different time...