Forecasting has always been at the forefront of decision making and planning. The
uncertainty that surrounds the future is both exciting and challenging, with individuals and …

The main goal of this article is to provide an answer to the question: does anything forecast
exchange rates, and if so, which variables? It is well known that exchange rate fluctuations …

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 …

This study examines the safe haven prowess of gold against some exogenous shocks due
to the COVID-19 pandemic. We further make a comparison of our findings with those …

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 …

We propose a new measure of time-varying tail risk that is directly estimable from the cross-
section of returns. We exploit firm-level price crashes every month to identify common …

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 …

We develop the hypothesis that geopolitical risk predicts exchange rate returns. Using data
on 17 countries, we demonstrate that the information content embedded in geopolitical risk …

Our article comprehensively reexamines the performance of variables that have been
suggested by the academic literature to be good predictors of the equity premium. We find …