This paper provides a comprehensive analysis of price effects after one-day abnormal returns and their evolution in the US stock market for the case of Dow Jones Index over the period 1890-2018. Using different statistical tests (both parametrical and non-parametrical) as well as additional...

We examine whether real-time return forecasts are valuable to an investor looking to allocate their portfolio across a wide selection of countries. We expand the Sum-of-Parts (SoP) method for forecasting stock returns to an international setup by adding FX returns as an additional component. We...

We apply recently developed tests of information sufficiency in structural VARs to extract fundamental structural shocks to the yield curve. A medium-scale specification properly augmented with information on inflation expectations improves the sufficiency test for all specifications we...

We explore whether economic links via trade affect aggregate Chinese stock market returns. We find that market return indices from countries that China net exports from can forecast the Chinese aggregate market return at the weekly time horizon. Countries that China net exports to have no...

This paper builds on the recent debate on the in-sample and out-of-sample predictability of US aggregate returns using a wide range of predictors by providing new evidence for smaller and less market-oriented European countries. We find evidence that macro and technical predictors can...