Investor sentiment indicates how far an asset value deviates from its economic
fundamentals. In this article, we review various measures of investor sentiment based on …

This systematic literature review critically analyzes studies on the determinants of short
selling and the implications for information distribution, real economic decisions, financial …

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 …

Our paper reexamines whether 29 variables from 26 papers published after, as well as the
original 17 variables, were useful in predicting the equity premium in-sample and out-of …

In this paper, we use two prevailing shrinkage methods, the lasso and elastic net, to predict
oil price returns with a large set of predictors. The out-of-sample results indicate that the …

Motivated by the importance of geopolitical risk and its possible predictive power for oil
volatility, this paper aims to quantitatively investigate the role of geopolitical risk (GPR) …

This paper aims to improve the predictability of aggregate oil market volatility with a
substantially large macroeconomic database, including 127 macro variables. To this end …

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 …

In this paper, we employ a novel dimension reduction approach, the scaled principal
component analysis (s-PCA), to improve the oil price predictability with technical indicators …

This paper uses a news-based climate policy uncertainty (CPU) proposed by Gavriilidis
(2021) to test the stock return predictability of the oil industry. Results show that CPU is a …