Macroeconomic indicators alone can predict the monthly closing price of major U.S. indices: Insights from artificial intelligence, time-series analysis and hybrid models.

•A 2-stage method is proposed to predict the 1-month ahead price for 13 U.S. indices.•Ensembles of macroeconomic factors alone are more predictive than time-series models.•Errors in time-series models are explained by the ensembles of macroeconomic factors.•A decision support system for predicting the monthly stock price is presented.•The code is freely available for investors and researchers.