David G. McMillan

University of Stirling

Professor of Finance

Stirling, Scotland FK9 4LA

United Kingdom

SCHOLARLY PAPERS

49

DOWNLOADS
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SSRN RANKINGS

Top 5,426

in Total Papers Downloads

6,565

CITATIONS
Rank 18,073

SSRN RANKINGS

Top 18,073

in Total Papers Citations

18

Scholarly Papers (49)

1.

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 1,329 (8,926)
Citation 3

Abstract:

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

2.

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, University of Manchester - Manchester Business School, University of Stirling and Hiroshima University
Downloads 492 (41,934)
Citation 5

Abstract:

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

3.

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 336 (72,009)
Citation 1

Abstract:

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

4.

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 228 (107,262)

Abstract:

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

5.

Forecasting Stock Returns: Does Switching Between Models Help?

Number of pages: 31 Posted: 14 Jun 2009
David G. McMillan
University of Stirling
Downloads 210 (115,374)

Abstract:

stock market returns, STAR, switching models, 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, University of Manchester - Manchester Business School, University of Stirling and Hiroshima University
Downloads 75 (273,530)
Citation 1

Abstract:

regime switching, threshold, smooth transition, predictive regressions, 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 173 (146,532)

Abstract:

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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Abstract:

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

8.

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 153 (154,418)

Abstract:

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

9.

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 152 (157,738)

Abstract:

Asymmetry, Consecutive returns, Holding period

10.

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 130 (116,419)

Abstract:

Stock Prices, Commodity Prices, Forecasting, Rolling

11.

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 129 (160,272)

Abstract:

House Prices, Stock Prices, ESTR Model, Credit Effect

12.

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 127 (152,768)

Abstract:

13.

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 101 (212,632)

Abstract:

Stock Prices, Fundamentals, Bubbles, GDP, Cointegration

14.

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 100 (215,510)

Abstract:

Dividend Yield, Returns Predictability, Forecasting, Backward Recursion

15.

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 94 (175,440)

Abstract:

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

16.

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 77 (229,089)

Abstract:

Temperature, CO2, Stationarity, VAR

17.
Downloads 75 (218,462)

Abstract:

18.

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 75 (146,532)

Abstract:

Value premium, value stocks, growth stocks, equity style

19.

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 Business School and University of Stirling
Downloads 72 (247,464)

Abstract:

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

20.

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 52 (321,465)

Abstract:

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

21.

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 49 (253,043)

Abstract:

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

22.

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 43 (182,727)

Abstract:

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

23.

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

Journal of Business Finance & Accounting, Vol. 31, No. 3-4, pp. 439-474, April 2004
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 (446,364)
Citation 2
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Abstract:

24.

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 (462,088)
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Abstract:

25.

Non-Linear Error Correction: Evidence for UK Interest Rates

Manchester School, Vol. 72, No. 5, pp. 626-640, September 2004
Number of pages: 15 Posted: 21 Aug 2004
David G. McMillan
University of Stirling
Downloads 15 (477,707)
Citation 3
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Abstract:

26.

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 (544,165)
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Abstract:

27.

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 (544,165)
Citation 1
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Abstract:

28.

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 (554,273)
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Abstract:

29.

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 (554,273)
Citation 1
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Abstract:

30.

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 0 (508,436)

Abstract:

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

31.

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 0 (451,604)

Abstract:

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

32.

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 0 (498,460)

Abstract:

Stock Market Factors, GDP Growth, Predictability, Asset Pricing

33.

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 0 (232,273)

Abstract:

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

34.

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 Aberdeen - Business School, University of Edinburgh - Business School and University of Stirling
Downloads 0 (430,912)

Abstract:

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

35.

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 0 (310,557)

Abstract:

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

36.

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 0 (286,177)

Abstract:

Stock Returns, Predictability, Inflation, Threshold, Forecasting

37.

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 0 (441,222)

Abstract:

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

38.

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 0 (436,031)

Abstract:

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

39.

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 0 (345,100)

Abstract:

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

40.

Which Variables Predict and Forecast Stock Market Returns?

Number of pages: 29 Posted: 29 Jun 2016
David G. McMillan
University of Stirling
Downloads 0 (27,527)

Abstract:

Stock Returns, Predictability, Forecasting, Combinations

41.

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 (568,467)
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Abstract:

dynamic linkages, credit risk, money market, derivatives market

42.

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 0 (351,409)

Abstract:

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

43.

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 0 (361,234)

Abstract:

Banks, Market Structure, Profit Persistence, Risk

44.

Predicting Stock Returns: Historical Mean vs. Dividend Yield

Number of pages: 30 Posted: 30 Oct 2015
David G. McMillan
University of Stirling
Downloads 0 (232,273)

Abstract:

Stock Returns, Dividend Yield, Forecasting, Rolling Regressions

45.

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, University of Manchester - Manchester Business School, University of Stirling and Hiroshima University
Downloads 0 (568,467)
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Abstract:

46.

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 (568,467)
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Abstract:

Credit crunch, insider trading, market efficiency

47.

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

Abstract:

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

48.

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 0 (188,485)
Citation 1

Abstract:

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

49.

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

Abstract:

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