Stock return forecasting: Some new evidence

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Time-Varying Effect of Oil Market Shocks on the Stock Market (2015, background): “Phan et al. (2015b) report that oil price out-of-sample forecasts of returns of stock returns perform well and are affected by frequency of the data, the estimator employed, and the characteristics of the stock sector being considered.”
Constructing a Global Fear Index for the COVID-19 Pandemic (2020, background): “…not the first study to examine stock return predictability using historical average as the baseline model (see Bannigidadmath and Narayan 2015; Narayan and Gupta 2015; Phan, Sharma, and Narayan 2015; Narayan et al. 2016; Devpura, Narayan, and Sharma 2018; Salisu, Swaray, and Oloko 2019a,b,c,d,&e).”
The Impact of the COVID-19 Pandemic on Firm Performance (2020, background): “Phan, Sharma, and Narayan (2015) also found strong evidence that return predictability has links to certain industry characteristics.”
COVID-19 and the Oil Price – Stock Market Nexus: Evidence From Net Oil-Importing Countries (2020, methodology): “The sample period used is from January 1, 2020 to June 8, 2020. studies which show that oil prices predict stock market returns (Narayan et al., 2019; Narayan & Sharma, 2011; Phan et al., 2015a, 2015b).”