Forward exchange rate unbiasedness is rejected in tests from the current floating exchange
rate era. This paper surveys advances in this area since the publication of Hodrick's (1987) …

Volatility has been one of the most active and successful areas of research in time series
econometrics and economic forecasting in recent decades. This chapter provides a selective …

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 …

Managed portfolios that take less risk when volatility is high produce large alphas, increase
Sharpe ratios, and produce large utility gains for mean‐variance investors. We document …

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 …

Using the news-based measure of Baker et al.[Baker SR, Bloom N, Davis SJ (2013)
Measuring economic policy uncertainty. Working paper, Stanford University, Stanford, CA] to …

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 find support for a negative relation between conditional expected monthly return and
conditional variance of monthly return, using a GARCH‐M model modified by allowing (1) …

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 …

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 …