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International stock return predictability: Evidence from new statistical tests
16 references·2 citing·42 second hop
International stock return predictability: Evidence from new statistical tests (2016)International stock return predictability…Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Investor Sentiment Aligned: A…Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Forecasting the Equity Risk P…The Dog That Did Not Bark: A Defense of Return Predictability (2007)The Dog That Did Not Bark: A …A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Stock Return Predictability: Is it There? (2006)Stock Return Predictability: …Efficient tests of stock return predictability☆ (2006)Efficient tests of stock retu…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Predicting returns with financial ratios (2004)Predicting returns with finan…Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)Foundations of Technical Anal…Predictive regressions (1999)Predictive regressionsData‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Data‐Snooping, Technical Trad…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracySimple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…Economic policy uncertainty and stock market returns: New evidence (2021)Economic policy uncertainty a…International implied volatility risk indexes and Saudi stock return-volatility predictabilities (2018)International implied volatil…The Behavior of Stock-Market Prices (1965)Does the Stock Market Overreact? (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Market underreaction to open market share repurchases (1995)Do Investors Trade Too Much? (1999)Improved Methods for Tests of Long‐Run Abnormal Stock Returns (1999)Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: Heuristics and Biases (1975)Tail risk premia and return predictability (2015)A Theory of Cognitive Dissonance (2017)Cryptocurrency: A New Investment Opportunity? (2017)Manager sentiment and stock returns (2018)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Presidential Address: Discount Rates (2011)Empirical Asset Pricing via Machine Learning (2020)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)The Science of Monetary Policy: A New Keynesian Perspective (1999)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Expectations of Returns and Expected Returns (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Volatility forecast comparison using imperfect volatility proxies (2010)Macroeconomic Forecasting Using Diffusion Indexes (2002)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Policy Uncertainty and Corporate Investment (2015)Asset returns and inflation (1977)Stock Returns and the Term Structure (1985)Dividend yields and expected stock returns (1988)Expected Stock Returns and Variance Risk Premia (2009)The short of it: Investor sentiment and anomalies (2011)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,298 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 1999Predictive regressions1,614 cited
  • 2006Stock Return Predictability: Is it There?1,295 cited
  • 2007The Dog That Did Not Bark: A Defense of Return Predictability1,227 cited
  • 2014Investor Sentiment Aligned: A Powerful Predictor of Stock Returns1,129 cited
  • 2000Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation1,118 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited
  • 1999Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap1,024 cited
  • 2004Predicting returns with financial ratios1,002 cited
  • 2014Forecasting the Equity Risk Premium: The Role of Technical Indicators

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1,001 cited
  • 2006Efficient tests of stock return predictability☆992 cited
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    • 2021Economic policy uncertainty and stock market returns: New evidence77 cited
    • 2018International implied volatility risk indexes and Saudi stock return-volatility predictabilities30 cited