We analyze whether newspaper content can predict aggregate future stock returns. Our study is based on articles published in the Handelsblatt, a leading German financial newspaper, from July 1989 to March 2011. We summarize newspaper content in a systematic way by constructing word-count indices...

Samuelson's dictum (1998) states that capital markets are “macro inefficient”. If this conjecture is true, returns should be partially predictable across different asset classes. We test for the predictability of returns on an asset class level by exploiting the advantageous features of the...