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Angela Black

Professor

    • 345 Citations
    19922015
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    Research Output 1992 2015

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    Article
    2015
    2 Citations (Scopus)

    Cointegration between stock prices, dividends, output and consumption: Evidence and forecasting ability for 29 markets

    Black, A. J., McMillan, D. & McMillan, F., 2015, In : Review of Accounting & Finance. 14, 1, p. 81-103 23 p.

    Research output: Contribution to journalArticle

    Dividends
    Cointegration
    Stock prices
    Consumption growth
    Stock returns
    7 Downloads (Pure)

    The existence and source of stock return predictability: Evidence from dividend, consumption and output ratios

    McMillan, D., Black, A., Klinkowska, O. & McMillan, F., May 2015, In : Journal of Asset Management. 16, 3, p. 186-208 23 p.

    Research output: Contribution to journalArticle

    Open Access
    File
    Dividends
    Predictability
    Predictability of stock returns
    Stock market
    Time variation
    2014
    10 Citations (Scopus)

    Forecasting Stock Returns: Do Commodity Prices Help?

    Black, A. J., Klinkowska, O., McMillan, D. G. & McMillan, F. J., Dec 2014, In : Journal of forecasting. 33, 8, p. 627-639 13 p.

    Research output: Contribution to journalArticle

    2009
    1 Citation (Scopus)

    The value premium and economic activity: long run evidence from the United States

    Black, A. J., Mao, B. & McMillan, D. G., Dec 2009, In : Journal of Asset Management. 10, 5, p. 305-317 13 p.

    Research output: Contribution to journalArticle

    Economic activity
    Value premium
    Value stocks
    Growth stocks
    Price index
    2007
    3 Citations (Scopus)

    Are international value premiums driven by the same set of fundamentals?

    Black, A. J., Fraser, P. & McMillan, D. G., Jan 2007, In : International Review of Economics & Finance. 16, 1, p. 113-129 17 p.

    Research output: Contribution to journalArticle

    Value premium
    Vector autoregressive model
    Cointegration
    Price index
    Currency
    2006
    2 Citations (Scopus)

    Asymmetric risk premium in value and growth stocks

    Black, A. J. & McMillan, D., 2006, In : International Review of Financial Analysis. 15, 3, p. 237-246 9 p.

    Research output: Contribution to journalArticle

    74 Citations (Scopus)

    House Prices, Fundamentals and Bubbles

    Black, A. J., Fraser, P. & Hoesli, M. E. R., Dec 2006, In : Journal of business finance & accounting. 33, 9, p. 1535-1555 20 p.

    Research output: Contribution to journalArticle

    4 Citations (Scopus)

    Macroeconomic risk and the Fama-French Three factor model

    Black, A. J., 2006, In : Managerial Finance. 32, 6, p. 505-517 13 p.

    Research output: Contribution to journalArticle

    Fama-French three-factor model
    Macroeconomics
    Conditional variance
    Factors
    Risk premium
    2004
    33 Citations (Scopus)

    Long run trends and volatility spillovers in daily exchange rates

    Black, A. J. & McMillian, D., 2004, In : Applied Financial Economics. 14, p. 895-907 12 p.

    Research output: Contribution to journalArticle

    13 Citations (Scopus)

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

    Black, A. J. & McMillian, D., Apr 2004, In : Journal of business finance & accounting. 31, 3/4, p. 439-474 35 p.

    Research output: Contribution to journalArticle

    Fundamental UK stock prices as determined by the macroeconomy

    Black, A. J., Fraser, P. & Groenewold, N., 2003, In : Journal of Asset Management. 4, 1, p. 5-9 5 p.

    Research output: Contribution to journalArticle

    Stock prices
    Macroeconomy
    Share prices
    Price index
    Vector autoregressive model
    7 Citations (Scopus)

    How Big is the Speculative Component in Australian Share Prices

    Black, A. J., Fraser, P. & Groenewold, N., 2003, In : Journal of Economics and Business. 55, 2, p. 177-195 18 p.

    Research output: Contribution to journalArticle

    3 Citations (Scopus)

    The Value Premium: Rational, Irrational or Random

    Black, A. J. & Fraser, P., 2003, In : Managerial Finance. 29, 10, p. 57-75 18 p.

    Research output: Contribution to journalArticle

    12 Citations (Scopus)

    U.S. stock prices and macroeconomic fundamentals

    Black, A., Fraser, P. & Groenewold, N., 2003, In : International Review of Economics & Finance. 12, 3, p. 345-367 23 p.

    Research output: Contribution to journalArticle

    Macroeconomic fundamentals
    Stock prices
    Deviation
    Time-varying
    Time-varying risk
    2002
    3 Citations (Scopus)
    Stock market
    Portfolio diversification
    Efficient portfolio
    Economics
    Methodology
    15 Citations (Scopus)

    Stock Market Short-termism: An International Perspective

    Black, A. J. & Fraser, P., 2002, In : Journal of Multinational Finance Management. 12, 2, p. 135-158 23 p.

    Research output: Contribution to journalArticle

    The impact of monetary policy on value and growth stocks: An international evaluation

    Black, A. J., 2002, In : Journal of Asset Management. 3, 2, p. 142-172 30 p.

    Research output: Contribution to journalArticle

    Value stocks
    Growth stocks
    Monetary policy
    Evaluation
    Monetary regimes
    2001

    Nonlinear error correction in spot and forward exchange rates

    Black, A. J. & McMillan, D., 2001, In : Weltwirtschaftliches Archiv. 137, 4, p. 737-750 13 p.

    Research output: Contribution to journalArticle

    2000
    16 Citations (Scopus)

    Earning curves and wage curves

    Black, A. J. & FitzRoy, F. R., Nov 2000, In : Scottish Journal of Political Economy. 47, 5, p. 471-486 16 p.

    Research output: Contribution to journalArticle

    6 Citations (Scopus)

    International comparisons on stock market short-termism: How different is the UK experience?

    Black, A. J. & Fraser, P., 2000, In : The Manchester School. 68, Suppl. 1, p. 38-50 13 p.

    Research output: Contribution to journalArticle

    1997
    9 Citations (Scopus)

    Business conditions and speculative assets

    Black, A. J., Fraser, P. & Macdonald, R., Sep 1997, In : The Manchester School. 65, 4, p. 379-393 15 p.

    Research output: Contribution to journalArticle

    1993
    2 Citations (Scopus)

    Earnings, overtime and regional labour markets

    Black, A. J., Chapman, P. G. & Monojit, C., 1993, In : Regional Studies. 27, 7, p. 637-650 14 p.

    Research output: Contribution to journalArticle

    regional labor market
    overtime
    labor market
    regional unemployment
    disaggregation
    1992
    53 Citations (Scopus)

    UK unit trust performance 1980-1989: A passive time-varying approach

    Black, A. J., Fraser, P. & Power, D., Sep 1992, In : Journal of Banking and Finance. 16, 5, p. 1015-1033

    Research output: Contribution to journalArticle

    Time-varying
    Unit trusts
    Economics
    Efficient market hypothesis
    Investment opportunities