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Macro Financial Trends and Market Expected Returns

Yufeng Han et al.

Review of Asset Pricing Studies2026https://doi.org/10.1093/rapstu/raaf014article
AJG 3ABDC A*
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0.50

Abstract

This paper shows that trends typically used for monetary policy guidance are also effective in predicting market excess returns. Using a linear combination method across 14 economic and financial predictor variables, we find that moving-average trends outperform the variables’ current values in forecasting market returns. Incorporating neural networks further improves these predictions. Our findings underscore the importance of trends, supporting the Federal Reserve’s emphasis on integrating trends with lagged variables. When accounting for nonlinearity, we find that market return predictability is significantly greater than commonly believed. Our results are robust across both U.S. and global equity markets.

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https://doi.org/https://doi.org/10.1093/rapstu/raaf014

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@article{yufeng2026,
  title        = {{Macro Financial Trends and Market Expected Returns}},
  author       = {Yufeng Han et al.},
  journal      = {Review of Asset Pricing Studies},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1093/rapstu/raaf014},
}

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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