Utilizing data from the German DAX30 stock index, we investigate whether local analysts have an informational advantage in forecasting stock returns. We analyze whether banks' buy and sell recommendations improve on the out-of-sample predictability of daily stock returns and the market-timing...

We investigate the impact of good and bad news on stock market volatility. To this end, we utilize a novel data set of banks’ buy and sell recommendations for the German DAX30 stock market index and estimate an EGARCH(1,1) model which features these recommendations as well as several other...

We argue that the use of publicly available and easily accessible information on economic and financial crises to detect structural breaks in the link between stock returns and macroeconomic predictor variables improves the performance of simple trading rules in real time. In particular, our...