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Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?

Citations

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Cited by:

  1. Bekiros, Stelios & Gupta, Rangan & Majumdar, Anandamayee, 2016. "Incorporating economic policy uncertainty in US equity premium models: A nonlinear predictability analysis," Finance Research Letters, Elsevier, vol. 18(C), pages 291-296.
  2. repec:ipg:wpaper:2014-604 is not listed on IDEAS
  3. Wang, Ningli & You, Wanhai, 2023. "New insights into the role of global factors in BRICS stock markets: A quantile cointegration approach," Economic Systems, Elsevier, vol. 47(2).
  4. repec:ipg:wpaper:2014-511 is not listed on IDEAS
  5. Sheng, Xin & Gupta, Rangan & Ji, Qiang, 2020. "The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries," Energy Economics, Elsevier, vol. 91(C).
  6. repec:ipg:wpaper:2014-459 is not listed on IDEAS
  7. repec:ipg:wpaper:2014-500 is not listed on IDEAS
  8. repec:ipg:wpaper:2014-465 is not listed on IDEAS
  9. Dahmene, Meriam & Boughrara, Adel & Slim, Skander, 2021. "Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 676-699.
  10. Mehmet Balcilar & Rangan Gupta & Clement Kyei & Mark E. Wohar, 2016. "Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test," Open Economies Review, Springer, vol. 27(2), pages 229-250, April.
  11. Golab, Anna & Bannigidadmath, Deepa & Pham, Thach Ngoc & Thuraisamy, Kannan, 2022. "Economic policy uncertainty and industry return predictability – Evidence from the UK," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 433-447.
  12. Xu, Yongan & Liang, Chao & Wang, Jianqiong, 2023. "Financial stress and returns predictability: Fresh evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
  13. repec:ipg:wpaper:2014-473 is not listed on IDEAS
  14. repec:ipg:wpaper:2014-466 is not listed on IDEAS
  15. Balcilar, Mehmet & Gupta, Rangan & Kim, Won Joong & Kyei, Clement, 2019. "The role of economic policy uncertainties in predicting stock returns and their volatility for Hong Kong, Malaysia and South Korea," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 150-163.
  16. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2016. "Stock return predictability and determinants of predictability and profits," Emerging Markets Review, Elsevier, vol. 26(C), pages 153-173.
  17. Bekiros, Stelios & Gupta, Rangan & Kyei, Clement, 2016. "On economic uncertainty, stock market predictability and nonlinear spillover effects," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 184-191.
  18. Christou, Christina & Gupta, Rangan, 2020. "Forecasting equity premium in a panel of OECD countries: The role of economic policy uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 243-248.
  19. repec:ipg:wpaper:2014-463 is not listed on IDEAS
  20. Amna Sohail Rawat, Imtiaz Arif, 2018. "Does Geopolitical Risk Drive Equity Price Returns of BRIC Economies? Evidence from Quantile on Quantile Estimations," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 3(2), pages 24-36, October.
  21. Liang, Chao & Xu, Yongan & Wang, Jianqiong & Yang, Mo, 2022. "Whether dimensionality reduction techniques can improve the ability of sentiment proxies to predict stock market returns," International Review of Financial Analysis, Elsevier, vol. 82(C).
  22. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Tran, Vuong Thao, 2018. "Can economic policy uncertainty predict stock returns? Global evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 134-150.
  23. Ahmet Yağmur Ersoy & Metin Saygılı & Mustafa İlteriş Yılmaz & Mustafa Emre Uslu & İhsan Hakan Selvi, 2022. "Consumer Sentiment in Turkey, from Closure to the New Normal," Sustainability, MDPI, vol. 14(15), pages 1-24, July.
  24. Balcilar, Mehmet & Usman, Ojonugwa & Gungor, Hasan & Roubaud, David & Wohar, Mark E., 2021. "Role of global, regional, and advanced market economic policy uncertainty on bond spreads in emerging markets," Economic Modelling, Elsevier, vol. 102(C).
  25. Das, Debojyoti & Kannadhasan, M. & Bhattacharyya, Malay, 2019. "Do the emerging stock markets react to international economic policy uncertainty, geopolitical risk and financial stress alike?," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 1-19.
  26. Azmi, Wajahat & Mohamad, Shamsher & Shah, Mohamed Eskandar, 2020. "Ethical investments and financial performance: An international evidence," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
  27. repec:ipg:wpaper:2014-468 is not listed on IDEAS
  28. Lei, Adrian C.H. & Song, Chen, 2022. "Economic policy uncertainty and stock market activity: Evidence from China," Global Finance Journal, Elsevier, vol. 52(C).
  29. Linyan Dai & Xin Sheng, 2021. "The Impact of Uncertainty on State-Level Housing Markets of the United States: The Role of Social Cohesion," Sustainability, MDPI, vol. 13(6), pages 1-9, March.
  30. repec:ipg:wpaper:2014-531 is not listed on IDEAS
  31. Yonghong JIANG & Juan MENG & He NIE, 2018. "Visiting the Economic Policy Uncertainty Shocks - Economic Growth Relationship: Wavelet-based Granger-Causality in Quantiles Approac," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 80-94, December.
  32. Chuliá, Helena & Gupta, Rangan & Uribe, Jorge M. & Wohar, Mark E., 2017. "Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 178-191.
  33. Giray Gozgor & Ender Demir, 2017. "Excess stock returns, oil shocks, and policy uncertainty in the U.S," Economics Bulletin, AccessEcon, vol. 37(2), pages 741-755.
  34. Chen, Jinyu & Wang, Yilin & Ren, Xiaohang, 2023. "Asymmetric effect of financial stress on China’s precious metals market: Evidence from a quantile-on-quantile regression," Research in International Business and Finance, Elsevier, vol. 64(C).
  35. repec:ipg:wpaper:2014-553 is not listed on IDEAS
  36. Rangan Gupta & Chi-Keung (Marco) Lau & Xin Sheng, 2019. "Macroeconomic Uncertainty Connections across the US States: Evidence from a Bayesian Graphical Structural VAR (BGSVAR) Model," Working Papers 201910, University of Pretoria, Department of Economics.
  37. Nonejad, Nima, 2022. "Predicting equity premium out-of-sample by conditioning on newspaper-based uncertainty measures: A comparative study," International Review of Financial Analysis, Elsevier, vol. 83(C).
  38. Wadud, Mokhtarul & Ali Ahmed, Huson Joher & Tang, Xueli, 2020. "Factors affecting delinquency of household credit in the U.S.: Does consumer sentiment play a role?," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  39. Gupta, Rangan & Lau, Chi-Keung (Marco) & Sheng, Xin, 2020. "Graph theory-based network analysis of regional uncertainties of the US Economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
  40. Marwane El Alaoui & Elie Bouri & Nehme Azoury, 2020. "The Determinants of the U.S. Consumer Sentiment: Linear and Nonlinear Models," IJFS, MDPI, vol. 8(3), pages 1-13, July.
  41. Martina Hengge, 2019. "Uncertainty as a Predictor of Economic Activity," IHEID Working Papers 19-2019, Economics Section, The Graduate Institute of International Studies.
  42. Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2016. "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 63(3), pages 273-291.
  43. Kunze, Frederik & Wegener, Christoph & Bizer, Kilian & Spiwoks, Markus, 2017. "Forecasting European interest rates in times of financial crisis – What insights do we get from international survey forecasts?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 192-205.
  44. repec:ipg:wpaper:2014-555 is not listed on IDEAS
  45. Kang, Wensheng & de Gracia, Fernando Perez & Ratti, Ronald A., 2019. "The asymmetric response of gasoline prices to oil price shocks and policy uncertainty," Energy Economics, Elsevier, vol. 77(C), pages 66-79.
  46. repec:ipg:wpaper:2014-476 is not listed on IDEAS
  47. repec:ipg:wpaper:2014-558 is not listed on IDEAS
  48. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Bonsu, Christiana Osei & Karikari, Nana Kwasi & Hammoudeh, Shawkat, 2022. "The effects of public sentiments and feelings on stock market behavior: Evidence from Australia," Journal of Economic Behavior & Organization, Elsevier, vol. 193(C), pages 443-472.
  49. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2021. "Commodity futures returns and policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 364-383.
  50. Jiawen Luo & Oguzhan Cepni & Riza Demirer & Rangan Gupta, 2022. "Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies," Working Papers 202258, University of Pretoria, Department of Economics.
  51. Serdar Ongan & Ismet Gocer, 2017. "Testing The Causalities Between Economic Policy Uncertainty And The Us Stock Indices: Applications Of Linear And Nonlinear Approaches," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(04), pages 1-20, December.
  52. repec:ipg:wpaper:2014-510 is not listed on IDEAS
  53. Gozgor, Giray & Lau, Chi Keung Marco & Bilgin, Mehmet Huseyin, 2016. "Commodity markets volatility transmission: Roles of risk perceptions and uncertainty in financial markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 35-45.
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