This paper investigates the predictability of stock market returns conditional on herd behaviour states (intense/adverse) using a fixed effects model to capture cross-sectional and time variability covering the European region. We show that herd behaviour negatively forecasts stock returns on...

This paper examines whether stock market returns forecasts should take account of the political party in power by re-examining the prior literature to demonstrate that US stock market political regime differences are neither significant nor long-lasting. We demonstrate that the presidential...