it is often suggested that through a judicious choice of predictors that track business cycles and market sentiment, simple Vector Autoregressive (VAR) models could produce optimal strategic portfolio allocations that hedge against the bull and bear dynamics typical of financial markets....

Purpose - This study seeks to investigate the sensitivity of stock returns at the industry level to market, exchange rate and interest rate shocks in the four major European economies: France, Germany, Italy, and the UK. Design/methodology/approach -The paper utilises the methodology of Campbell...