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Non-linear forecasting of stock returns : does volume help?

McMillan, David G. - In: International journal of forecasting 23 (2007) 1, pp. 115-126

Persistent link: https://www.econbiz.de/10003438396

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

Structural breaks in financial ratios : evidence for nine international markets

McMillan, David G. - In: Applied financial economics letters 3 (2007) 4/6, pp. 381-384

Persistent link: https://www.econbiz.de/10003605339

Revisiting dividend yield dynamics and returns predictability : evidence from a time-varying ESTR model

McMillan, David G. - In: The quarterly review of economics and finance : journal … 49 (2009) 3, pp. 870-883

Persistent link: https://www.econbiz.de/10003873643

Stock return, dividend growth and consumption growth predictability across markets and time :implications for stock price movement

McMillan, David G. - In: International review of financial analysis 35 (2014), pp. 90-101

Persistent link: https://www.econbiz.de/10010529621

Consumption and stock prices : evidence from a small international panel

McMillan, David G. - In: Journal of macroeconomics 36 (2013), pp. 76-88

Persistent link: https://www.econbiz.de/10009751139

Does non-linearity help us understand, model and forecast UK stock and bond returns : evidence from the BEYR

McMillan, David G. - In: International review of applied economics 26 (2012) 1, pp. 125-143

Persistent link: https://www.econbiz.de/10009419538

Stock return predictability and market integration : the role of global and local information

McMillan, David G. - In: Cogent economics & finance 4 (2016) 1, pp. 1-18

This paper examines the predictability of a range of international stock markets where we allow the presence of both local and global predictive factors. Recent research has argued that US returns have predictive power for international stock returns. We expand this line of research, following...

Persistent link: https://www.econbiz.de/10011487829

Does the BEYR help predict UK sector returns?

McMillan, David G. - In: The journal of asset management 12 (2011) 2, pp. 146-156

Persistent link: https://www.econbiz.de/10009232548