David G. McMillan

University of Stirling

Professor of Finance

Stirling, Scotland FK9 4LA

United Kingdom

SCHOLARLY PAPERS

67

DOWNLOADS
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Top 4,119

in Total Papers Downloads

12,522

SSRN CITATIONS
Rank 15,526

SSRN RANKINGS

Top 15,526

in Total Papers Citations

25

CROSSREF CITATIONS

48

Scholarly Papers (67)

1.

Which Variables Predict and Forecast Stock Market Returns?

Number of pages: 29 Posted: 29 Jun 2016
David G. McMillan
University of Stirling
Downloads 2,676 (6,270)

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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 1,919 (10,749)
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
University of Liverpool Management School, Alliance Manchester Business School - University of Manchester, University of Stirling and Hiroshima University
Downloads 588 (59,347)
Citation 1

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

4.

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 404 (93,575)
Citation 4

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Stock Prices, Commodity Prices, Forecasting, Rolling

5.

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 399 (94,867)

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

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 359 (107,011)
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 294 (132,947)
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 277 (141,488)

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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 274 (143,100)
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 265 (147,951)
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 246 (159,344)

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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 231 (169,293)

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stock market returns, STAR, switching models, forecasting

13.

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 230 (170,036)
Citation 1

Abstract:

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Stock Market Factors, GDP Growth, Predictability, Asset Pricing

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 230 (169,602)

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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

15.

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 224 (175,144)
Citation 5

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Insider Trading, Stock Returns, Economic Value, Trading Strategies

16.

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 214 (182,013)

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

17.

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 203 (191,238)
Citation 2

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18.

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 201 (192,988)

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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
University of Liverpool Management School, Alliance Manchester Business School - University of Manchester, University of Stirling and Hiroshima University
Downloads 81 (384,486)

Abstract:

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

20.

Predicting Stock Returns: Historical Mean vs. Dividend Yield

Number of pages: 30 Posted: 30 Oct 2015
David G. McMillan
University of Stirling
Downloads 180 (212,893)

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Stock Returns, Dividend Yield, Forecasting, Rolling Regressions

21.

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 171 (222,438)
Citation 1

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

22.

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 169 (224,614)

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Asymmetry, Consecutive returns, Holding period

23.

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 163 (231,596)

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

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 157 (239,153)

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

25.

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 157 (239,153)
Citation 1

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

26.
Downloads 141 (260,795)

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27.

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 140 (262,346)

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Stock Prices, Fundamentals, Bubbles, GDP, Cointegration

28.

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 134 (271,557)

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

29.

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 122 (291,172)

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Stock Returns, Predictability, Inflation, Threshold, Forecasting

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 114 (305,586)
Citation 2

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Dividend Yield, Returns Predictability, Forecasting, Backward Recursion

31.

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 113 (307,495)

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Temperature, CO2, Stationarity, VAR

32.

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 106 (321,346)
Citation 3

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

33.

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 98 (338,357)

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

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 97 (342,843)

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

35.

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 81 (380,739)
Citation 4

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

36.

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 78 (389,158)

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

37.

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 77 (392,038)

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

38.

Profit Persistence and Stock Returns: Does the Market Care?

Number of pages: 33 Posted: 31 Jul 2018
David G. McMillan
University of Stirling
Downloads 72 (406,973)

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Profit, Persistence, Stock Returns, Industry

39.

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 71 (410,099)

Abstract:

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Volatility Forecasting, HAR, Lasso, VaR

40.

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 71 (410,099)

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

41.

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 65 (429,704)

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

42.

Does the Stock Market Predict Macro-Variables?

Number of pages: 45 Posted: 11 Nov 2018
David G. McMillan
University of Stirling
Downloads 62 (440,165)

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

43.

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, Wenxuan Hou and David G. McMillan
Cardiff University - School of Mathematics, University of Edinburgh Business School, University of Edinburgh - Business SchoolUniversity of Edinburgh - Business School and University of Stirling
Downloads 61 (443,604)

Abstract:

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

44.

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 59 (450,861)

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

45.

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 58 (454,560)

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

46.

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 54 (469,644)
Citation 1

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Banks, Market Structure, Profit Persistence, Risk

47.

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 52 (477,590)

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

48.

Lottery Stocks in the UK: Evidence, Characteristics and Cause

Number of pages: 45 Posted: 28 Apr 2021
Maher Khasawneh, David G. McMillan and Dimos S Kambouroudis
University of Stirling, University of Stirling and University of Stirling - Department of Accounting and Finance
Downloads 48 (494,207)

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Stock Returns, Lottery Effect, Idiosyncratic Volatility, Max-Effect

49.

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 39 (535,571)

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

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 34 (561,443)

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

51.

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 32 (572,389)

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

52.

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 32 (572,389)

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

53.

Expected Profitability, the 52-Week High and the Idiosyncratic Volatility Puzzle

Number of pages: 43 Posted: 03 Nov 2021
Maher Khasawneh, David G. McMillan and Dimos S Kambouroudis
University of Stirling, University of Stirling and University of Stirling - Department of Accounting and Finance
Downloads 23 (629,064)

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Stock Returns, Idiosyncratic Volatility, Expected Profitability, 52-Week High

54.

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 (643,191)
Citation 2
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55.

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 (664,596)
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56.

The Time-Varying Relation between Stock Returns and Monetary Variables

Number of pages: 32 Posted: 18 Nov 2021
David G. McMillan
University of Stirling
Downloads 15 (694,468)

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Stock Returns, Interest Rates, Inflation, Money Supply, Time-Variation, Correlation, Predictability

57.

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 (686,745)
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58.

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 (790,408)
Citation 1
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59.

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 (790,408)
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60.

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 (801,963)
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61.

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 (801,963)
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62.

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 (801,963)
Citation 1
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63.

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 (819,276)
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dynamic linkages, credit risk, money market, derivatives market

64.

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
University of Liverpool Management School, Alliance Manchester Business School - University of Manchester, University of Stirling and Hiroshima University
Downloads 0 (819,276)
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65.

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 (819,276)
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Credit crunch, insider trading, market efficiency

66.

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

67.

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