Changes in oil prices predict stock market returns worldwide. We find significant predictability in both developed and emerging markets. These results cannot be explained by time-varying risk premia as oil price changes also significantly predict negative excess returns. Investors seem to...

U.S. stock market sectors and industries perform better during winter than summer from 1926 to 2006. In more than two-thirds of sectors and industries, the difference in summer and winter returns, known as the Halloween effect, is statistically significant. There are, however, large differences...