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

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Listed:
  • Rangan Gupta
  • Shawkat Hammoudeh
  • Mampho P. Modise
  • Duc Khuong Nguyen

Abstract

This article attempts to examine whether the equity premium in the United States can be predicted from a comprehensive
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013. "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers 2013-20, Department of Research, Ipag Business School.
  • Handle: RePEc:ipg:wpaper:2013-20
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    References listed on IDEAS

    as
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    Citations

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    Cited by:

    1. 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.
    2. 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.
    3. repec:ipg:wpaper:2014-459 is not listed on IDEAS
    4. repec:rjr:romjef:v::y:2018:i:2:p:80-94 is not listed on IDEAS
    5. 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.
    6. repec:ebl:ecbull:eb-17-00090 is not listed on IDEAS
    7. repec:voj:journl:v:63:y:2016:i:3:p:273-291 is not listed on IDEAS
    8. Goodness C. Aye Author-Email: goodness.aye@gmail.com & 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, June.
    9. repec:eee:intfin:v:48:y:2017:i:c:p:192-205 is not listed on IDEAS
    10. 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.
    11. 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.
    12. Christina Christou & Rangan Gupta, 2016. "Forecasting Equity Premium in a Panel of OECD Countries: The Role of Economic Policy Uncertainty," Working Papers 201622, University of Pretoria, Department of Economics.
    13. repec:ipg:wpaper:2014-476 is not listed on IDEAS
    14. repec:wsi:afexxx:v:12:y:2017:i:04:n:s2010495217500166 is not listed on IDEAS
    15. repec:ipg:wpaper:2014-510 is not listed on IDEAS
    16. 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.

    More about this item

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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