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Citations for "Macro variables and international stock return predictability"

by Rapach, David E. & Wohar, Mark E. & Rangvid, Jesper

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  1. Gupta, Rangan & Modise, Mampho P., 2012. "South African stock return predictability in the context data mining: The role of financial variables and international stock returns," Economic Modelling, Elsevier, vol. 29(3), pages 908-916.
  2. Rangan Gupta & Shawkat Hammoudeh & Beatrice D. Simo-Kengne & Soodabeh Sarafrazi, 2013. "Can the Sharia-Based Islamic Stock Market Returns be Forecasted Using Large Number of Predictors and Models?," Working Papers 201381, University of Pretoria, Department of Economics.
  3. Durden, Garey C. & Gaynor, Patricia E., 2015. "Publishing in The Journal of Regional Analysis and Policy and an Evaluation (via Citation Counts) of JRAP’s Influence on Scholarship in Regional Science," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 45(2).
  4. Hartmann, Daniel & Kempa, Bernd & Pierdzioch, Christian, 2006. "Economic and Financial Crises and the Predictability of U.S. Stock Returns," MPRA Paper 561, University Library of Munich, Germany.
  5. Rangan Gupta & Mampho P. Modise, 2012. "Valuation Ratios and Stock Return Predictability in South Africa: Is It There?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(1), pages 70-82, January.
  6. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2016. "Can commodity returns forecast Canadian sector stock returns?," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 172-188.
  7. Sousa, Ricardo M. & Vivian, Andrew & Wohar, Mark E., 2016. "Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 122-143.
  8. Friedrich, Christian & Klein, Melanie, 2009. "On the look-out for the bear: Predicting stock market downturns in G7 countries," Kiel Advanced Studies Working Papers 451, Kiel Institute for the World Economy (IfW).
  9. Christian Pierdzioch & Stefan Reitz & Jan-Christoph Ruelke, 2014. "Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market," Kiel Working Papers 1947, Kiel Institute for the World Economy.
  10. Kole, H.J.W.G. & van Dijk, D.J.C., 2013. "How to Identify and Forecast Bull and Bear Markets?," ERIM Report Series Research in Management ERS-2013-016-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  11. Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2006. "Forecasting stock market volatility with macroeconomic variables in real time," Discussion Paper Series 2: Banking and Financial Studies 2006,01, Deutsche Bundesbank, Research Centre.
  12. Hartmann, Daniel & Pierdzioch, Christian, 2007. "Exchange rates, interventions, and the predictability of stock returns in Japan," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 155-172, April.
  13. Bai, Limiao & Yan, Sen & Zheng, Xiaolian & Chen, Ben M., 2015. "Market turning points forecasting using wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 437(C), pages 184-197.
  14. Daniel Hartmann & Christian Pierdzioch, 2007. "International equity flows and the predictability of US stock returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(8), pages 583-599.
  15. Rocha Armada, Manuel J. & Sousa, Ricardo M. & Wohar, Mark E., 2015. "Consumption growth, preference for smoothing, changes in expectations and risk premium," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 80-97.
  16. Lumengo BONGA-BONGA, "undated". "Modeling Stock Returns in the South African Stock Exchange: a Nonlinear Approach," EcoMod2010 259600034, EcoMod.
  17. Michael Scholz & Stefan Sperlich & Jens Perch Nielsen, 2012. "Nonparametric prediction of stock returns with generated bond yields," Graz Economics Papers 2012-10, University of Graz, Department of Economics.
  18. Nyberg, Henri & Pönkä, Harri, 2016. "International sign predictability of stock returns: The role of the United States," Economic Modelling, Elsevier, vol. 58(C), pages 323-338.
  19. Yuksel ILTAS & Umit BULUT, 2016. "The relationships among the returns of investment instruments: a vector autoregressive approach for Turkey," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(609), W), pages 273-280, Winter.
  20. Dinh H B Phan & Susan S Sharma & Paresh K Narayan, . "Stock Return Forecasting: Some New Evidence," Financial Econometics Series 2015_13, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  21. 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 201351, University of Pretoria, Department of Economics.
  22. Nicholas Apergis & Matteo Bonato & Rangan Gupta & Clement Kyei, 2016. "Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach," Working Papers 201671, University of Pretoria, Department of Economics.
  23. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, Elsevier.
  24. Wu, Shue-Jen & Lee, Wei-Ming, 2015. "Predicting severe simultaneous bear stock markets using macroeconomic variables as leading indicators," Finance Research Letters, Elsevier, vol. 13(C), pages 196-204.
  25. Westerlund, Joakim & Narayan, Paresh Kumar, 2012. "Does the choice of estimator matter when forecasting returns?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2632-2640.
  26. 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.
  27. Chen, Shiu-Sheng, 2009. "Predicting the bear stock market: Macroeconomic variables as leading indicators," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 211-223, February.
  28. Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2008. "Real-time macroeconomic data and ex ante stock return predictability," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 274-290.
  29. Gupta, Rangan & Modise, Mampho P., 2013. "Macroeconomic Variables and South African Stock Return Predictability," Economic Modelling, Elsevier, vol. 30(C), pages 612-622.
  30. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009. "Non-linear predictability in stock and bond returns: when and where is it exploitable?," Working Papers 2008-010, Federal Reserve Bank of St. Louis.
  31. Sirucek, Martin, 2012. "Effect of money supply on the Dow Jones Industrial Average stock index," MPRA Paper 68167, University Library of Munich, Germany, revised 2012.
  32. Ryan Compton & Syeed Khan, 2010. "An examination of the stability of short-run Canadian stock predictability," Economics Bulletin, AccessEcon, vol. 30(2), pages 1293-1306.
  33. Schrimpf, Andreas & Wang, Qingwei, 2010. "A reappraisal of the leading indicator properties of the yield curve under structural instability," International Journal of Forecasting, Elsevier, vol. 26(4), pages 836-857, October.
  34. Naser, Hanan & Alaali, Fatema, 2015. "Can Oil Prices Help Predict US Stock Market Returns: An Evidence Using a DMA Approach," MPRA Paper 65295, University Library of Munich, Germany, revised 25 Jun 2015.
  35. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2016. "Intraday return predictability, portfolio maximisation, and hedging," Emerging Markets Review, Elsevier, vol. 28(C), pages 105-116.
  36. Schrimpf, Andreas, 2010. "International stock return predictability under model uncertainty," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1256-1282, November.
  37. Wen, Yi-Chieh & Lin, Philip T. & Li, Bin & Roca, Eduardo, 2015. "Stock return predictability in South Africa: The role of major developed markets," Finance Research Letters, Elsevier, vol. 15(C), pages 257-265.
  38. Söderberg, Jonas, 2008. "Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia," CAFO Working Papers 2009:10, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, Linnaeus University.
  39. Candelon Bertrand & Ahmed Jameel & Straetmans Stefan, 2012. "Predicting and Capitalizing on Stock Market Bears in the U.S," Research Memorandum 019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  40. Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2015. "Heteroeneous forecasters and nonlinear expectation formation in US stock market," FinMaP-Working Papers 29, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  41. Pierdzioch, Christian & Schertler, Andrea, 2008. "Investing in European stock markets for high-technology firms," Global Finance Journal, Elsevier, vol. 18(3), pages 400-415.
  42. Shue-Jen Wu & Wei-Ming Lee, 2012. "Predicting the U.S. bear stock market using the consumption-wealth ratio," Economics Bulletin, AccessEcon, vol. 32(4), pages 3174-3181.
  43. Michael Steiner, 2009. "Predicting premiums for the market, size, value, and momentum factors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(2), pages 137-155, June.
  44. Scholz, Michael & Sperlich, Stefan & Nielsen, Jens Perch, 2016. "Nonparametric long term prediction of stock returns with generated bond yields," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 82-96.
  45. Christian Pierdzioch, 2012. "Macroeconomic Factors and the German Real Estate Market: A Stock-Market-Based Forecasting Experiment," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 87-96, May.
  46. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2014. "Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(4), pages 510-535, 08.
  47. Chew Lian Chua & G. C. Lim & Sarantis Tsiaplias, 2012. "A latent variable approach to forecasting the unemployment rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 31(3), pages 229-244, 04.
  48. Wegener, Christian & von Nitzsch, Rüdiger & Cengiz, Cetin, 2010. "An advanced perspective on the predictability in hedge fund returns," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2694-2708, November.
  49. Maik Schmeling & Andreas Schrimpf, 2008. "Expected Inflation, Expected Stock Returns, and Money Illusion: What can we learn from Survey Expectations?," SFB 649 Discussion Papers SFB649DP2008-036, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  50. Guidolin, Massimo & Ono, Sadayuki, 2006. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 480-518.
  51. Nyberg, Henri, 2013. "Predicting bear and bull stock markets with dynamic binary time series models," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3351-3363.
  52. Helmut Herwartz & Konstantin A. Kholodilin, 2011. "In-Sample and Out-of-Sample Prediction of Stock Market Bubbles: Cross-Sectional Evidence," Discussion Papers of DIW Berlin 1173, DIW Berlin, German Institute for Economic Research.
  53. Tahir Suleman & Rangan Gupta & Mehmet Balcilar, 2016. "Does Country Risks Predict Stock Returns and Volatility? Evidence from a Nonparametric Approach," Working Papers 201675, University of Pretoria, Department of Economics.
  54. Naik, Prasad A., 2015. "Marketing Dynamics: A Primer on Estimation and Control," Foundations and Trends(R) in Marketing, now publishers, vol. 9(3), pages 175-266, December.
  55. Hartmann, Daniel & Pierdzioch, Christian, 2006. "Nonlinear Links between Stock Returns and Exchange Rate Movements," MPRA Paper 558, University Library of Munich, Germany.
  56. Širůček, Martin, 2015. "Kauzalní vztah peněžní nabídky a amerického akciového trhu
    [Money supply and US stock market causality]
    ," MPRA Paper 66357, University Library of Munich, Germany, revised 30 Aug 2015.
  57. Yu-Hau Hu & Shun-Jen Hsueh, 2013. "A Study of yhe Nonlinear Relationships among the U.S. and Asian Stock Markets during Financial Crises," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 134-147, December.
  58. Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, vol. 26(6), pages 1283-1299, November.
  59. Goodness C. Aye & Stephen M. Miller & Rangan Gupta & Mehmet Balcilar, 2013. "Forecasting the US Real Private Residential Fixed Investment Using Large Number of Predictors," Working Papers 201348, University of Pretoria, Department of Economics.
  60. Bonga-Bonga, Lumengo & Mwamba, Muteba, 2015. "A multivariate model for the prediction of stock returns in an emerging market: A comparison of parametric and non-parametric models," MPRA Paper 62028, University Library of Munich, Germany.
  61. Rangan Gupta & Mampho P. Modise & Josine Uwilingiye, 2011. "Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors," Working Papers 201122, University of Pretoria, Department of Economics.
  62. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc.
  63. Nuno Silva, 2013. "Equity Premia Predictability in the EuroZone," GEMF Working Papers 2013-22, GEMF, Faculty of Economics, University of Coimbra.
  64. Thomadakis, Apostolos, 2016. "Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence," MPRA Paper 71589, University Library of Munich, Germany.
  65. Goodness C. Aye & Rangan Gupta & Stephen M. Miller & Mehmet Balcilar, 2014. "Forecasting US Real Private Residential Fixed Investment Using a Large Number of Predictors," Working papers 2014-10, University of Connecticut, Department of Economics.
  66. GIOT, Pierre & PETITJEAN, Mikael, 2006. "International stock return predictability: statistical evidence and economic significance," CORE Discussion Papers 2006088, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  67. Nan-Kuang Chen & Han-Liang Cheng & Ching-Sheng Mao, 2014. "Identifying and forecasting house prices: a macroeconomic perspective," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2105-2120, December.
  68. Juan Pi??eiro Chousa, & Artur Tamazian, & Davit N. Melikyan,, 2008. "MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: Evidence from EMU Members," William Davidson Institute Working Papers Series wp916, William Davidson Institute at the University of Michigan.
  69. Wu, Shue-Jen & Lee, Wei-Ming, 2015. "Intertemporal risk–return relationships in bull and bear markets," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 308-325.
  70. Møller, Stig V. & Rangvid, Jesper, 2015. "End-of-the-year economic growth and time-varying expected returns," Journal of Financial Economics, Elsevier, vol. 115(1), pages 136-154.
  71. Rangan Gupta & Anandamayee Majumdar & Christian Pierdzioch & Mark Wohar, 2016. "Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach," Working Papers 201626, University of Pretoria, Department of Economics.
  72. Kim, Sei-Wan & Mollick, André V. & Nam, Kiseok, 2008. "Common nonlinearities in long-horizon stock returns: Evidence from the G-7 stock markets," Global Finance Journal, Elsevier, vol. 19(1), pages 19-31.
  73. Rangan Gupta & John W. Muteba Mwamba & Mark E. Wohar, 2016. "The Role of Partisan Conflict in Forecasting the U.S. Equity Premium: A Nonparametric Approach," Working Papers 201686, University of Pretoria, Department of Economics.
  74. Nombulelo Gumata, Alain Kabundi and Eliphas Ndou, 2013. "Important Channels of Transmission Monetary Policy Shock in South Africa," Working Papers 375, Economic Research Southern Africa.
  75. Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2012. "Structural Breaks and Predictive Regressions Models of South African Equity Premium," Working Papers 201209, University of Pretoria, Department of Economics.
  76. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2017. "Forecasting market returns: bagging or combining?," International Journal of Forecasting, Elsevier, vol. 33(1), pages 102-120.
  77. Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2013. "Further evidence on bear market predictability: The role of the external finance premium," MPRA Paper 49093, University Library of Munich, Germany.
  78. Jacques Peeperkorn & Yudhvir Seetharam, 2016. "A learning-augmented approach to pricing risk in South Africa," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 6(1), pages 117-139, April.
  79. Lehkonen, Heikki & Heimonen, Kari, 2015. "Democracy, political risks and stock market performance," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 77-99.
  80. Viviana Fernandez, 2008. "Traditional versus novel forecasting techniques: how much do we gain?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 637-648.
  81. Sarantis Tsiaplias, 2007. "The Macroeconomic Content of Equity Market Factors," Melbourne Institute Working Paper Series wp2007n23, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  82. Peiró, Amado, 2016. "Stock prices and macroeconomic factors: Some European evidence," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 287-294.
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