Macro signals in equities
25 papers on macro signals in equities as a systematic trading strategy. Macro signals papers on single stocks and equity indices: 25 of the 49 in macro signals and regime strategies. 9 name a method, most often state-space models (6). The most cited is State-Level Business Cycles and Local Return Predictability (2008).
Papers252001–2026
Share of the family51 %25 of 49
| cited by | method | ||
|---|---|---|---|
| State-Level Business Cycles and Local Return Predictability by Korniotis and Kumar | 153 | 2008 | |
| On the Out-of-Sample Predictability of Stock Market Returns by Guo | 31 | 2002 | |
| Getting the Most Out of Macroeconomic Information for Predicting Stock Returns and Volatility by Çakmaklı and van Dijk | 20 | 2010 | |
| Downside Risk Reduction Using Regime-Switching Signals: A Statistical Jump Model Approach by Shu et al. | 7 | State-space models | 2024 |
| Earnings, Business Cycle and Stock Returns by Chordia and Shivakumar | 7 | Linear factor models | 2001 |
| A Regime-Switching Relative Value Arbitrage Rule by Bock and Mestel | 6 | State-space models | 2008 |
| Attention Allocation Over the Business Cycle: Evidence from the Mutual Fund Industry by Kacperczyk et al. | 5 | 2009 | |
| Don't Fight the Fed! by Maio | 4 | 2012 | |
| On Monetary Policy and Stock Market Anomalies by Kostakis and Kontonikas | 3 | 2011 | |
| Getting the Most out of Macroeconomic Information for Predicting Stock Returns by Çakmaklı and van Dijk | 2 | 2016 | |
| Maximizing Equity Market Sector Predictability in a Bayesian Time Varying Parameter Model by Johnson and Sakoulis | 2 | Bayesian +1 | 2003 |
| Forecasting Tech Sector Market Downturns based on Macroeconomic Indicators by Maleki | 1 | 2024 | |
| Technical Trading Rules, Loss Avoidance, and the Business Cycle by Ergun et al. | 1 | 2022 | |
| An Update of 'Loosening Your Collar: Alternative Implementations of QQQ Collars': Credit Crisis and Out-of-Sample Performance by Szado and Schneeweis | 1 | 2009 | |
| Crowded Anomalies over the Business Cycle by Jung | 0 | Linear factor models | 2026 |
| Dynamic Allocation with Macro Factor-Mimicking Portfolios by Molinaro and Chaudron | 0 | 2026 | |
| Dynamic Factor Allocation via Momentum-Based Regime Switching by Tai et al. | 0 | State-space models | 2026 |
| Effects of Monsoon on Indian Stock Market by Pandey et al. | 0 | Classical time series +2 | 2026 |
| Leakage-Aware Benchmarking of LLM Forecasting: Real-Time Nowcasts as the Decision-Time Input for Macro Factor Ranking by Guan and Chen | 0 | Language models | 2026 |
| A Century of Macro Factor Investing - Diversified Multi-Asset Multi-Factor Strategies through the Cycles by Swade et al. | 0 | 2025 | |
| Indifference pricing of pure endowments in a regime-switching market model by Cretarola and Salterini | 0 | Mathematical derivation +2 | 2025 |
| Macroeconomic Factor Timing by Chiapparoli | 0 | 2025 | |
| Asset Allocation with Business Cycle Dependent Return Predictability by Sander | 0 | 2015 | |
| Hierarchical AI Multi-Agent Fundamental Investing: Evidence from China's A-Share Market by He et al. | 2025 | ||
| Quantifying macroeconomic expectations in stock markets using Google Trends by Bock | 2018 |
Papers on macro signals in equities from other families
3 papers| filed under | ||
|---|---|---|
| Correlation-Gated Risk Budgeting for Equity Factor Portfolios by Guo | Low-volatility anomaly | 2026 |
| Hedge Ratio Estimation and Risk-Return Dissociation in Pairs Trading: Kalman Filtering under Structural Instability by Baskaran | Hedging strategies | 2026 |
| Dynamic Momentum Strategies: Return Dispersion and Predictability by Liu et al. | Momentum and trend following | 2025 |