David G. McMillan

University of Stirling

Professor of Finance

Stirling, Scotland FK9 4LA

United Kingdom

SCHOLARLY PAPERS

64

DOWNLOADS
Rank 4,046

SSRN RANKINGS

Top 4,046

in Total Papers Downloads

11,567

SSRN CITATIONS
Rank 15,347

SSRN RANKINGS

Top 15,347

in Total Papers Citations

24

CROSSREF CITATIONS

48

Scholarly Papers (64)

1.

Which Variables Predict and Forecast Stock Market Returns?

Number of pages: 29 Posted: 29 Jun 2016
David G. McMillan
University of Stirling
Downloads 2,391 (6,803)

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Stock Returns, Predictability, Forecasting, Combinations

2.

Research on 'Responsible Investment': An Influential Literature Analysis Comprising a Rating, Characterisation, Categorisation and Investigation

Number of pages: 84 Posted: 14 Aug 2009 Last Revised: 19 Aug 2009
Andreas G. F. Hoepner and David G. McMillan
Smurfit Graduate Business School, University College Dublin and University of Stirling
Downloads 1,866 (10,235)
Citation 28

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citation analysis, diversification, ethical investment, literature review, socially responsible investment, research methods, research synthesis

3.

Non-Linear Predictability in Stock and Bond Returns: When and Where is it Exploitable?

Federal Reserve Bank of St. Louis Working Paper No. 2008-010A
Number of pages: 74 Posted: 30 Apr 2008 Last Revised: 15 Jan 2009
Massimo Guidolin, Stuart Hyde, David G. McMillan and Sadayuki Ono
Bocconi University - Department of Finance, Alliance Manchester Business School - University of Manchester, University of Stirling and Hiroshima University
Downloads 580 (55,794)
Citation 1

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Non-linearities, regime switching, threshold predictive regressions, forecasting, predictability in financial returns

4.

How Many Factors? Does Adding Momentum and Volatility Improve Performance

Number of pages: 27 Posted: 14 Aug 2017
Qatar University - College of Business and Economics, Qatar University - College of Business and Economics, University of Stirling and Qatar University - College of Business and Economics
Downloads 373 (95,195)

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Five-Factor Model, Momentum, Volatility, Time-Variation, Expected Returns

5.

Forecasting Stock Returns: Do Commodity Prices Help?

Number of pages: 34 Posted: 18 Jul 2014
University of Aberdeen - Business School, University of Aberdeen - Business School, University of Stirling and University of St. Andrews
Downloads 369 (96,353)
Citation 4

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Stock Prices, Commodity Prices, Forecasting, Rolling

6.

Are International Value Premiums Driven by the Same Set of Fundamentals?

Univ. of Aberdeen Acct. & Fin. Working Paper No. 02-04
Number of pages: 22 Posted: 18 Mar 2002
Angela J. Black, Patricia Fraser and David G. McMillan
University of Aberdeen - Business School, Curtin University of Technology - Curtin Business School - Bentley Campus and University of Stirling
Downloads 356 (100,418)
Citation 1

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Long-Run Value Premium, Cointegration, Interest Rates, Variance Decomposition

7.

The Long Run Value Premium and Economic Activity

Univ. of Aberdeen Acct. & Fin. Working Paper No. 02-05
Number of pages: 22 Posted: 01 Apr 2002
Angela J. Black and David G. McMillan
University of Aberdeen - Business School and University of Stirling
Downloads 282 (129,229)
Citation 2

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Long-Run Value Premium, Cointegration, Interest Rates, Variance Decomposition

8.

Forecast and Market Timing Power of the FED Model and the Role of Inflation

Number of pages: 34 Posted: 06 Jun 2015
David G. McMillan
University of Stirling
Downloads 262 (139,487)

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Stock Returns, FED Model, Rolling Regression, Forecasting, Market Timing, Inflation

9.

Forecasting US Stock Returns

Number of pages: 42 Posted: 01 Nov 2018
David G. McMillan
University of Stirling
Downloads 255 (143,324)
Citation 1

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Stock Returns, Forecasting, Time-Variation, Rolling, Recursive, Term Structure

10.

Long-Run Stock Price-House Price Relation: Evidence from an ESTR Model

Number of pages: 10 Posted: 22 Aug 2011
David G. McMillan
University of Stirling
Downloads 241 (151,445)
Citation 2

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House Prices, Stock Prices, ESTR Model, Credit Effect

11.

Portfolio Constituency Rules and the Value Premium in the Small-Cap Space

Number of pages: 24 Posted: 14 Feb 2014
Kenneth E. Scislaw and David G. McMillan
Drexel University Lebow College of Business and University of Stirling
Downloads 240 (152,101)

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Value premium, value stocks, growth stocks, equity style

12.

Forecasting Stock Returns: Does Switching Between Models Help?

Number of pages: 31 Posted: 14 Jun 2009
David G. McMillan
University of Stirling
Downloads 230 (158,453)

Abstract:

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stock market returns, STAR, switching models, forecasting

Modelling Time-Variation in the Stock Return-Dividend Yield Predictive Equation

Number of pages: 46 Posted: 05 Oct 2012
David G. McMillan
University of Stirling
Downloads 227 (160,772)

Abstract:

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Stock Returns, Predictability, Time-Variation, Dividend Growth, Panel

Modelling Time‐Variation in the Stock Return‐Dividend Yield Predictive Equation

Financial Markets, Institutions & Instruments, Vol. 23, Issue 5, pp. 273-302, 2014
Number of pages: 30 Posted: 29 Oct 2014
David G. McMillan
University of Stirling
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Stock Returns, Predictability, Time‐Variation, Dividend Growth, Panel

14.

Predicting Firm Level Stock Returns: Implications for Asset Pricing and Economic Links

Number of pages: 34 Posted: 14 Sep 2017
David G. McMillan
University of Stirling
Downloads 211 (171,950)

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Stock Returns, Predictability, Firm-Level, Asset Pricing, Output

15.

The Information Content of Stock Market Factors

Number of pages: 29 Posted: 14 Sep 2017
Qatar University - College of Business and Economics, Qatar University - College of Business and Economics, University of Stirling and Qatar University - College of Business and Economics
Downloads 208 (174,312)
Citation 1

Abstract:

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Stock Market Factors, GDP Growth, Predictability, Asset Pricing

16.

Stock Returns and Volatility Dynamics in China: Does the Control of State-Owned Enterprises (SOEs) Matter?

Number of pages: 36 Posted: 08 Apr 2013
Pornsawan Evans and David G. McMillan
Swansea University - College of Business, Economic and Law and University of Stirling
Downloads 200 (180,772)
Citation 2

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17.

Does Money Supply Growth Contain Predictive Power for Stock Returns? Evidence and Explanation

Number of pages: 48 Posted: 10 Sep 2014 Last Revised: 05 Jun 2015
David G. McMillan
University of Stirling
Downloads 194 (185,820)

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Stock Returns, Money Supply, Predictability, Asset Price Movement, Forecasting

Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence

Federal Reserve Bank of St. Louis Working Paper No. 2010-039A
Number of pages: 38 Posted: 25 Oct 2010
Massimo Guidolin, Stuart Hyde, David G. McMillan and Sadayuki Ono
Bocconi University - Department of Finance, Alliance Manchester Business School - University of Manchester, University of Stirling and Hiroshima University
Downloads 81 (360,096)

Abstract:

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regime switching, threshold, smooth transition, predictive regressions, forecasting

19.

Insider Trading and Future Stock Returns in Firms With Concentrated Ownership Levels

Forthcoming in European Journal of Finance
Number of pages: 33 Posted: 25 Jun 2018
University of St. Andrews - School of Management, University of Stirling, Business School, University of Aberdeen and University of St. Andrews
Downloads 171 (208,824)
Citation 4

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Insider Trading, Stock Returns, Economic Value, Trading Strategies

20.

Revisiting Non-Linear Dividend Yield Dynamics and Returns Predictability: Evidence from a Time-Varying ESTR Model

Number of pages: 28 Posted: 30 Apr 2008
David G. McMillan
University of Stirling
Downloads 170 (208,824)
Citation 1

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Dividend Yield, Returns Predictability, Forecasting, Time-Varying ESTR Model

21.

Asymmetric Return Patterns: Evidence from 33 International Stock Market Indices

Number of pages: 15 Posted: 15 Aug 2006
Twm Evans and David G. McMillan
University of Wales, Swansea and University of Stirling
Downloads 166 (212,933)

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Asymmetry, Consecutive returns, Holding period

22.

Predicting Stock Returns: Historical Mean vs. Dividend Yield

Number of pages: 30 Posted: 30 Oct 2015
David G. McMillan
University of Stirling
Downloads 165 (213,950)

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Stock Returns, Dividend Yield, Forecasting, Rolling Regressions

23.

Is Responsible Investment under-proportionally Researched?

Forthcoming in Handbook of Responsible Investment
Number of pages: 95 Posted: 26 May 2009 Last Revised: 08 Feb 2016
Andreas G. F. Hoepner, David G. McMillan and Michael Fraser
Smurfit Graduate Business School, University College Dublin, University of Stirling and New Zealand Institute of Chartered Accountants
Downloads 150 (231,772)
Citation 1

Abstract:

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bibliometrics, citation analysis, ethical investing, research policy, scientometrics

24.

Stock Return Predictability: Using the Cyclical Component of the Price Ratio

Number of pages: 40 Posted: 25 May 2018
David G. McMillan
University of Stirling
Downloads 149 (233,014)

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Stock Returns, Predictability, Dividend-Price Ratio, Price-Earnings Ratio, Forecasting, Cycles

25.
Downloads 137 (249,495)

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26.

Stock Market Fundamentals and Bubbles: Implications for Prices, GDP and Consumption

Number of pages: 33 Posted: 22 Oct 2010
David G. McMillan
University of Stirling
Downloads 134 (253,821)

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Stock Prices, Fundamentals, Bubbles, GDP, Cointegration

27.

Volatility and Value-at-Risk Forecasting: Does Wavelet De-Noising Help?

Number of pages: 52 Posted: 27 Feb 2017
University of Stirling - Department of Accounting and Finance, University of Stirling - Department of Accounting and Finance and University of Stirling
Downloads 127 (264,340)

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Wavelet; De-noising; Volatility; Forecasting, Value-at-Risk

28.

Predicting GDP Growth with Stock and Bond Markets: Do They Contain Different Information?

Number of pages: 64 Posted: 20 Mar 2019
David G. McMillan
University of Stirling
Downloads 119 (277,449)

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Stocks, Bonds, GDP Growth, Predictability, Forecasting, Variation

29.

The Relationship between Temperature and CO2 Emissions: Evidence from a Short and Very Long Dataset

Number of pages: 27 Posted: 31 Jan 2012
David G. McMillan and Mark E. Wohar
University of Stirling and University of Nebraska at Omaha
Downloads 112 (289,534)

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Temperature, CO2, Stationarity, VAR

30.

How Much In-Sample Data to Use in Forecasting? Evidence from a Simple Stock Returns Model

Number of pages: 10 Posted: 14 May 2009
David G. McMillan
University of Stirling
Downloads 112 (289,534)
Citation 2

Abstract:

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Dividend Yield, Returns Predictability, Forecasting, Backward Recursion

31.

Short-Sale Constraints and Efficiency of the Spot-Futures Dynamics

International Review of Financial Analysis, Vol. 24, 2012
Number of pages: 33 Posted: 01 Nov 2011 Last Revised: 30 Sep 2013
Dennis Philip and David G. McMillan
Durham University - Department of Economics and Finance and University of Stirling
Downloads 103 (306,769)
Citation 3

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Short-sale constraints, Short-selling, Arbitrage, Mispricing

32.

Time-Varying Predictability for Stock Returns, Dividend Growth and Consumption Growth

Number of pages: 26 Posted: 10 Sep 2014
David G. McMillan
University of Stirling
Downloads 97 (319,064)

Abstract:

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Stock Returns, Predictability, Time-Variation, State Space, Dividend Growth, Consumption Growth, Asset Price Movement

33.

Stock Return Predictability: The Role of Inflation and Threshold Dynamics

Number of pages: 35 Posted: 27 Feb 2017
David G. McMillan
University of Stirling
Downloads 94 (325,551)

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Stock Returns, Predictability, Inflation, Threshold, Forecasting

34.

Interrelation and Spillover Effects Between Stocks and Bonds: Cross-Market and Cross-Asset Evidence

Number of pages: 50 Posted: 12 Mar 2019
David G. McMillan
University of Stirling
Downloads 88 (339,382)

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Stocks, Bonds, Returns, Volatility, Correlation, Causality, VAR, Spillovers

35.

Stock-Bond Return Dynamic Correlation and Macroeconomic Announcements: Time-Scale Analysis and the Effects of Financial Crises

Number of pages: 66 Posted: 25 May 2018
University of Stirling - Department of Accounting and Finance, University of Stirling - Department of Accounting and Finance and University of Stirling
Downloads 75 (372,914)

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Stock-bond Dynamic Correlation, Macroeconomic Surprises, Financial Crises, Wavelet

36.

The Behaviour of Asset Return and Volatility Spillovers in Turkey: A Tale of Two Crises

Number of pages: 26 Posted: 01 Sep 2016
David G. McMillan, Burcu Berke and Oscar Bajo‐Rubio
University of Stirling, Omer Halisdemir University and University of Castilla-La Mancha
Downloads 73 (378,514)

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Spillovers, Exchange Rates, Stock Returns, Volatility, Commodity Markets, Turkey

37.

Profit Persistence and Stock Returns: Does the Market Care?

Number of pages: 33 Posted: 31 Jul 2018
David G. McMillan
University of Stirling
Downloads 70 (387,279)

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Profit, Persistence, Stock Returns, Industry

38.

Is There a Risk and Return Relation?

Number of pages: 46 Posted: 09 Oct 2017
University of Dundee, University of Stirling and University of St. Andrews
Downloads 63 (409,394)

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Stocks, Return, Risk, Volatility, Quantile, Bull v’s Bear, Index, Firm-Level

39.

Evidence of Hidden Inflation in Zimbabwe

Number of pages: 18 Posted: 02 Oct 2009
David G. McMillan and Bekithemba Mpofu
University of Stirling and College of Estate Management
Downloads 61 (415,950)

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Inflation, Unofficial inflation, hidden inflation, inflation weights, poverty

40.

Financial Data Science: The Birth of a New Financial Research Paradigm Complementing Econometrics?

The European Journal of Finance, Forthcoming
Number of pages: 21 Posted: 14 May 2020
University of Reading - ICMA Centre, Smurfit Graduate Business School, University College Dublin, University of Stirling, Loughborough University and University of Liverpool Management School
Downloads 59 (422,810)
Citation 3

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Big Data, Econometrics, Financial Data Science, Statistical Relevance, Statistical Significance Levels

41.

Does Feedback Trading Drive Returns of Cross-Listed Shares?

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 43 Posted: 12 Jun 2017
Jing Chen, Yizhe Dong, Wenxuan Hou and David G. McMillan
Cardiff University - School of Mathematics, University of Edinburgh Business School, University of Edinburgh - Business School and University of Stirling
Downloads 56 (433,375)

Abstract:

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Feedback trading, High-frequency trading, Cross-listing, Spillover, Volatility, Liquidity

42.

Does the Stock Market Predict Macro-Variables?

Number of pages: 45 Posted: 11 Nov 2018
David G. McMillan
University of Stirling
Downloads 55 (437,024)

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Stock Market, Returns, Expected Returns, VIX, Stock-Bond Correlation, Output Growth, Macroeconomic Variables, Prediction

43.

Stock Return Predictability and Market Integration: The Role of Global and Local Information

Number of pages: 30 Posted: 19 Nov 2015
David G. McMillan
University of Stirling
Downloads 53 (444,327)

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Stock Returns, Predictability, Global Information, Principal Components, Forecasting

44.

U.S. Bank Market Structure: Evolving Nature and Implications

Number of pages: 48 Posted: 12 Nov 2015
David G. McMillan and Fiona Jayne McMillan
University of Stirling and University of St. Andrews
Downloads 52 (448,012)
Citation 1

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Banks, Market Structure, Profit Persistence, Risk

45.

When and Why Do Stock and Bond Markets Predict Economic Growth?

Number of pages: 52 Posted: 02 Nov 2019
David G. McMillan
University of Stirling
Downloads 49 (459,560)

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Stock Returns, Term Structure, Interest Rates, GDP Growth, Consumption, Investment

46.

Significance, Relevance and Explainability in the Machine Learning Age: An Econometrics and Financial Data Science Perspective

Forthcoming, European Journal of Finance
Number of pages: 14 Posted: 15 Dec 2020
Smurfit Graduate Business School, University College Dublin, University of Stirling, Loughborough University and University of Liverpool Management School
Downloads 38 (507,251)

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explainability, explainable artificial intelligence (xai), neural networks, relevance, regressions, significance

47.

The Interaction between Risk, Return-Risk Trade-Off and Complexity: Evidence and Policy Implications for US Bank Holding Companies

Number of pages: 29 Posted: 25 Nov 2016
David G. McMillan and Fiona Jayne McMillan
University of Stirling and University of St. Andrews
Downloads 37 (511,936)

Abstract:

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Banks, Risk, Earnings, Volatility, Risk-Return, Complex, Prospect Theory, Market Structure, Sharpe Ratio

48.

Time-Varying Correlations and Interrelations: Firm-Level Based Sector Evidence

Number of pages: 24 Posted: 25 Oct 2016
Pornsawan Evans, David G. McMillan and Fiona Jayne McMillan
Swansea University - College of Business, Economic and Law, University of Stirling and University of St. Andrews
Downloads 31 (542,414)

Abstract:

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Stock Markets, Correlations, Firm-Level, Sectors, Time-Varying

49.

Explaining Subsequent Trading Activity Using Wavelet Time-Scale Analysis: International Evidence

Number of pages: 39 Posted: 25 May 2018
University of Stirling - Department of Accounting and Finance, University of Stirling - Department of Accounting and Finance and University of Stirling
Downloads 30 (547,811)

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Investor Overconfidence, Subsequent Trading, Recent Return, Subsequent Return, Wavelet

50.

Using Interest Rates to Predict Economic Growth: Are Corporate Bonds Better?

Number of pages: 38 Posted: 11 Jun 2020
David G. McMillan
University of Stirling
Downloads 27 (565,053)

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Term Structure, Default Yield, GDP Growth, Consumption, Investment

51.

Non-Linear Predictability of Value and Growth Stocks and Economic Activity

Number of pages: 36 Posted: 04 Jul 2004
Angela J. Black and David G. McMillan
University of Aberdeen - Business School and University of Stirling
Downloads 21 (603,748)
Citation 2
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52.

Value-at-Risk in Emerging Equity Markets: Comparative Evidence for Symmetric, Asymmetric, and Long-Memory GARCH Models

International Review of Finance, Vol. 7, Issue 1-2, pp. 1-19, March/June 2007
Number of pages: 19 Posted: 18 Jan 2008
David G. McMillan and Alan E.H. Speight
University of Stirling and University of Wales, Swansea
Downloads 18 (623,917)
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53.

Forecasting Realised Volatility: Does the LASSO approach outperform HAR?

Number of pages: 39 Posted: 22 Mar 2021
Yi Ding, Dimos S Kambouroudis and David G. McMillan
University of Stirling, University of Stirling - Department of Accounting and Finance and University of Stirling
Downloads 17 (630,782)

Abstract:

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Volatility Forecasting, HAR, Lasso, VaR

54.

Non-Linear Error Correction: Evidence for UK Interest Rates

Number of pages: 15 Posted: 21 Aug 2004
David G. McMillan
University of Stirling
Downloads 15 (644,862)
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55.

Present Value Model, Bubbles and Returns Predictability: Sector-Level Evidence

Journal of Business Finance & Accounting, Vol. 37, Issue 5-6, pp. 668-686, June/July 2010
Number of pages: 19 Posted: 13 Jul 2010
David G. McMillan
University of Stirling
Downloads 2 (745,106)
Citation 1
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56.

Are UK Share Prices Too High? Fundamental Value or New Era

Bulletin of Economic Research, Vol. 61, Issue 1, pp. 1-20, January 2009
Number of pages: 20 Posted: 17 Jan 2009
David G. McMillan
University of Stirling
Downloads 2 (745,106)
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57.

Information Transmission Across European Equity Markets During Crisis Periods

The Manchester School, Vol. 86, Issue 6, pp. 770-788, 2018
Number of pages: 19 Posted: 10 Oct 2018
Jing Chen, David G. McMillan and Mike Buckle
Cardiff University - School of Mathematics, University of Stirling and University of Liverpool
Downloads 1 (757,379)
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58.

A Panel Analysis of the Stock Return–Dividend Yield Relation: Predicting Returns and Dividend Growth

The Manchester School, Vol. 81, Issue 3, pp. 386-400, 2013
Number of pages: 15 Posted: 17 Apr 2013
David G. McMillan and Mark E. Wohar
University of Stirling and University of Nebraska at Omaha
Downloads 1 (757,379)
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59.

Profit Persistence Revisited: The Case of the UK

The Manchester School, Vol. 79, Issue 3, pp. 510-527, 2011
Number of pages: 18 Posted: 21 Apr 2011
David G. McMillan and Mark E. Wohar
University of Stirling and University of Nebraska at Omaha
Downloads 1 (757,379)
Citation 1
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60.

Dynamic Linkages in Credit Risk: Modeling the Time-Varying Correlation between the Money and Derivatives Markets Over the Crisis Period

Journal of Risk, Vol. 16, No. 2, 2013
Number of pages: 10 Posted: 07 Jun 2016
Weiou Wu and David G. McMillan
University of St. Andrews and University of Stirling
Downloads 0 (775,401)
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dynamic linkages, credit risk, money market, derivatives market

61.

Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out‐Of‐Sample Evidence

Oxford Bulletin of Economics and Statistics, Vol. 76, Issue 4, pp. 510-535, 2014
Number of pages: 26 Posted: 03 Jul 2014
Massimo Guidolin, Stuart Hyde, David G. McMillan and Sadayuki Ono
Bocconi University - Department of Finance, Alliance Manchester Business School - University of Manchester, University of Stirling and Hiroshima University
Downloads 0 (775,401)
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62.

The Credit Crunch and Insider Trading

Financial Markets, Institutions & Instruments, Vol. 23, Issue 2, pp. 71-100, 2014
Number of pages: 30 Posted: 08 Apr 2014
Manouchehr Tavakoli, David G. McMillan and Phillip J. McKnight
University of St. Andrews, University of Stirling and University of St. Andrews - School of Management
Downloads 0 (775,401)
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Credit crunch, insider trading, market efficiency

63.

Volatility Dynamics in Three Euro Exchange Rates: Correlations, Spillovers and Commonality

International Journal of Financial Markets and Derivatives, Vol. 1, No. 1, 2009
Posted: 04 Oct 2009
David G. McMillan and Isabel Ruiz
University of Stirling and University of Oxford - Harris Manchester College

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exchange rates, common volatility, co-movement, correlation, multivariate GARCH

64.

Volatility Persistence, Long Memory and Time-Varying Unconditional Mean: Evidence from Ten Equity Indices

Quarterly Review of Economics and Finance, Forthcoming
Posted: 23 May 2008
David G. McMillan and Isabel Ruiz
University of Stirling and University of Oxford - Harris Manchester College

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Volatility, Long Memory, Structural Breaks, Time-Varying Unconditional Variance