Jesper Rangvid

TL;DR: In this paper, the authors examined the predictability of stock returns using macroeconomic variables in 12 industrialized countries and employed recently developed out-of-sample tests that have increased power, namely, the McCracken [ Asymptotics for out-oftheoretic tests of Granger Causality, Manuscript, University of Missouri-Columbia (2004) and the West [ Econometrica 64 (1996) 1067] test for equal predictive ability.

TL;DR: In this article, a large register-based panel data set containing detailed information on educational attainments as well as financial and socioeconomic variables for individual investors enables them to test the hypothesis that due to informational advantages economists are more likely to hold stocks than otherwise identical investors.

TL;DR: In this article, the degree of convergence among three major European stock markets is analyzed within the framework of a recursive common stochastic trends analysis, and the results point towards a decreasing number of CSP trends influencing the stock markets.

TL;DR: This article used a large panel data set containing detailed information on educational attainments as well as financial and socioeconomic variables for individual investors to show that economists are more likely to hold stocks than otherwise identical investors.

TL;DR: For example, the authors showed that the ratio of share prices to GDP tracks a large fraction of the variation over time in expected returns on the aggregate stock market, capturing more of that variation than do price-earnings and price-dividend ratios and often also providing additional information about excess returns.