Our understanding of the sources of oil price fluctuations and their effects on the US
economy has undergone important transformations in the last decades. First, several studies …

Publisher Summary This chapter reviews what is known about the time-series evolution of
the risk-return trade-off for stock market investment and presents some new empirical …

Motivated by recent investigations on the connections between geopolitical risk and crude
oil prices, we implement a moving average strategy using the geopolitical risk index to …

This paper constructs a manager sentiment index based on the aggregated textual tone of
corporate financial disclosures. We find that manager sentiment is a strong negative …

This paper proposes two new methods (the Quantile Group LASSO and the Quantile Group
SCAD models) to evaluate the predictability of a large group of factors on carbon futures …

We propose a new investor sentiment index that is aligned with the purpose of predicting the
aggregate stock market. By eliminating a common noise component in sentiment proxies …

We show that short interest is arguably the strongest known predictor of aggregate stock
returns. It outperforms a host of popular return predictors both in and out of sample, with …

We survey the literature on stock return forecasting, highlighting the challenges faced by
forecasters as well as strategies for improving return forecasts. We focus on US equity …

This paper aims to explore the impact of war attention on stock volatility predictability by
constructing a new war attention index and employing an extended GARCH-MIDAS-ES …

Academic research relies extensively on macroeconomic variables to forecast the US equity
risk premium, with relatively little attention paid to the technical indicators widely employed …