An analysis of brokers' and analysts' unpublished forecasts of UK stock returns

Article Abstract:

An empirical study was made of more than 4000 specific share return forecasts made by 35 stockbrokers in the United Kingdom and by a large UK investment institution's internal analysts. Forecasting ability is evaluated by comparing forecast returns with realized returns and by analyzing the actual performance of some 3000 transactions motivated by the forecasts. The comparison of forecast and realized returns reveals a small but potentially useful degree of forecasting ability. Analysis of the returns actually achieved indicates that the seemingly favorable performance of the forecasts had actual value. Although differences in brokers' forecasting abilities do not appear to last over time, predictive accuracy can be improved by gathering simultaneous forecasts from different sources.

Security brokers and dealers, Evaluation, Stocks, Forecasts and trends, Securities industry, Great Britain

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Time-varying expected returns in international bond markets

Article Abstract:

This article examines the predictable variation in long-maturity government bond returns in six countries. A small set of global instruments can forecast 4 to 12 percent of monthly variation in excess bond returns. The predictable variation is statistically and economically significant. Moreover, expected excess bond returns are highly correlated across countries. A model with one global risk factor and constant conditional betas can explain international bond return predictability if the risk factor is proxied by the world excess bond return, but not if it is proxied by the world excess stock return. (Reprinted by permission of the publisher.)

International aspects, Government securities, Credit market, Credit markets

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Good day sunshine: stock returns and the weather

Article Abstract:

The positive correlation between sunny weather and higher stock returns is evaluated in this study of 26 stock exchanges from 1982-97.

World, Labor Distribution by Employer, Measurement, Stock-exchange, Stock exchanges, Influence, Statistics, Environmental aspects, Climatic changes, Climate change, Stock price forecasting

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