International Stock Return Predictability: What is the Role of the United States?

By David E. Rapach, Jack Strauss, Guofu Zhou. 2012

134 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/75ca0b8882be648cf66f43ebaa66c8cda856f9ef

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Shihao Gu
2. Guofu Zhou
3. D. Xiu
4. Bryan T. Kelly
5. Yufeng Han
6. Ke Yang
7. Yacine Aït-Sahalia
8. Markus Pelger

Citations in the corpus

• Variance Risk Premiums and the Forward Premium Puzzle (2012, unknown): “Zhou (2009) provides evidence that the U.”
• The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity (2010, unknown): “, Cavanagh, Elliott, and Stock (1995), Stambaugh (1999), Valkanov (2003), Ferson, Sarkissian, and Simin (2003), Lewellen (2004), and Campbell and Yogo (2006)).”
• Stock Market Integration and the Global Financial Crisis (2015, unknown): “This result could be related to the results of Rapach et al. (2013) that, instead of following, the market in the U.S. leads other markets, and the global factors that are formed from other markets have only limited explanatory power for movements of the U.S. market.”
• Empirical Asset Pricing via Machine Learning (2018, background): “The second strand forecasts the time series of returns and is surveyed by Welch and Goyal (2008), Koijen and Nieuwerburgh (2011), and Rapach and Zhou (2013).”
• Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models (2023, unknown): “Contemporaneously, Xie et al. (2023) find ChatGPT is no better than simple methods such as linear regression when using numerical data in prediction tasks. We attribute the difference in results to their focus on using historical numerical data to predict, while ChatGPT excels at textual tasks. Ko a”
• A New Anomaly: The Cross-Sectional Profitability of Technical Analysis (2013, background): “However, Griffin, Ji, and Martin (2003) find that momentum is still profitable over negative gross domestic product (GDP) growth periods and explain that the earlier finding of Chordia and Shivakumar may be due to not skipping a month between ranking and investment periods and the National Bureau of”