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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

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

Absolute and relative measures of time-varying risk premia and the predicatability of stock returns

Black, Angela J. - 1995

Persistent link: https://www.econbiz.de/10000554555

Non-linear cointegration and adjustment : an asymmetric exponential smooth-transition model for US interest rates

McMillan, David G. - In: Empirical economics : a journal of the Institute for … 35 (2008) 3, pp. 591-606

Persistent link: https://www.econbiz.de/10003776781

Bubbles in the dividend-price ratio? : evidence from an asymmetric exponential smooth-transition model

McMillan, David G. - In: Journal of banking & finance 31 (2007) 3, pp. 787-804

Persistent link: https://www.econbiz.de/10003429782

Level-shifts and non-linearity in US financial ratios : implications for returns predictability and the present value model

McMillan, David G. - In: Review of accounting & finance 9 (2010) 2, pp. 189-207

Persistent link: https://www.econbiz.de/10003991054

When and why do stock and bond markets predict US economic growth?

McMillan, David G. - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 331-343

Persistent link: https://www.econbiz.de/10012655482

Predicting stock returns : implications for asset pricing

McMillan, David G. - 2018 - 1st edition 2018

Persistent link: https://www.econbiz.de/10011734235

Are RiskMetrics forecasts good enough? : evidence from 31 stock markets

McMillan, David G.; Kambouroudis, Dimos - In: International review of financial analysis 18 (2009) 3, pp. 117-124

Persistent link: https://www.econbiz.de/10003880020

Volatility dynamics in three euro exchange rates : correlations, spillovers and commonality

McMillan, David G.; Ruiz, Isabel - In: International journal of financial markets and derivatives 1 (2009) 1, pp. 64-74

Persistent link: https://www.econbiz.de/10003984988

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