This paper makes three contributions to the literature on forecasting stock returns. First,
unlike the extant literature on oil price and stock returns, we focus on out-of-sample …

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, using data for 16 countries, tests whether economic policy uncertainty (EPU)
predicts stock excess returns. First, we show that the ability of EPU to forecast stock returns …

This article examines the nature of time-varying systematic risk for both Islamic and non-
Islamic sectoral indices during COVID-19. The novelty lies in the analysis of behavioral …

In this paper we show that Indian stock returns, based on industry portfolios, portfolios sorted
on book-to-market, and on size, are predictable. While we discover that this predictability …

This paper investigates the price volatility interaction between the crude oil and equity
markets in the US using 5-min data over the period 2009–2012. Our main findings can be …

This paper examines the nature of time-varying systematic risk for both Islamic and non-
Islamic sectoral indices. The novelty lies in the analysis of behavioural changes in beta …

To exploit return predictability via dynamic asset allocation, investors face the important
practical issue of how often to rebalance their portfolios. More frequent rebalancing uses …

In this paper, I examine whether stock return dispersion (RD) provides useful information
about future stock returns. RD consistently forecasts a decline in the excess market return at …

Volatility forecasting is important in financial econometrics and is mainly based on the
application of various GARCH-type models. However, it is difficult to choose a specific …