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International sign predictability of stock returns: The role of the United States
16 references·3 citing·51 second hop
International sign predictability of stock returns: The role of the United States (2016)International sign predictability of stoc…International Stock Return Predictability: What Is the Role of the United States? (2013)International Stock Return Pr…Forecasting Stock Returns (2013)Forecasting Stock ReturnsBetter to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Market Segmentation and Cross‐predictability of Returns (2010)Market Segmentation and Cross…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…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: …Do industries lead stock markets? (2006)Do industries lead stock mark…The Economic Value of Volatility Timing (2001)The Economic Value of Volatil…Forecasting stock indices: a comparison of classification and level estimation models (2000)Forecasting stock indices: a …A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Predictability of Stock Returns: Robustness and Economic Significance (1995)Predictability of Stock Retur…A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada (1995)A Multivariate GARCH Model of…International Transmission of Stock Market Movements (1989)International Transmission of…On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts (1981)On Market Timing and Investme…A comparison of machine learning methods for predicting the direction of the US stock market on the basis of volatility indices (2023)A comparison of machine learn…Using machine learning to predict clean energy stock prices: How important are market volatility and economic policy uncertainty? (2022)Using machine learning to pre…Forecasting banking crises with dynamic panel probit models (2018)Forecasting banking crises wi…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Common stochastic trends in international stock markets (1992)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Conditioning Variables and the Cross Section of Stock Returns (1999)International evidence on ethical mutual fund performance and investment style (2004)Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Presidential Address: Discount Rates (2011)The Limits of Arbitrage (1995)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Dissecting Characteristics Nonparametrically (2019)Bond Risk Premiums with Machine Learning (2020)Can ChatGPT forecast stock price movements? Return predictability and large language models (2026)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Capital markets research in accounting (2001)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 Dog That Did Not Bark: A Defense of Return Predictability (2007)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Risk, Return, and Equilibrium: Empirical Tests (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2001)The economic value of volatility timing using “realized” volatility (2003)On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)
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References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 2006Stock Return Predictability: Is it There?1,295 cited
  • 1995Predictability of Stock Returns: Robustness and Economic Significance1,034 cited
  • 2001The Economic Value of Volatility Timing848 cited
  • 2013International Stock Return Predictability: What Is the Role of the United States?702 cited
  • 2006Do industries lead stock markets?672 cited
  • 2013Forecasting Stock Returns634 cited
  • 2010Market Segmentation and Cross‐predictability of Returns576 cited
  • 1981On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts504 cited
  • 1995A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada

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499 cited
  • 2000Forecasting stock indices: a comparison of classification and level estimation models428 cited
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    • 2022Using machine learning to predict clean energy stock prices: How important are market volatility and economic policy uncertainty?51 cited
    • 2018Forecasting banking crises with dynamic panel probit models42 cited
    • 2023A comparison of machine learning methods for predicting the direction of the US stock market on the basis of volatility indices40 cited