کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5084675 | 1477913 | 2015 | 14 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: ReviewStock return forecasting: Some new evidence ReviewStock return forecasting: Some new evidence](/preview/png/5084675.png)
This paper makes three contributions to the literature on forecasting stock returns. First, unlike the extant literature on oil price and stock returns, we focus on out-of-sample forecasting of returns. We show that the ability of the oil price to forecast stock returns depends not only on the data frequency used but also on the estimator. Second, out-of-sample forecasting of returns is sector-dependent, suggesting that oil price is relatively more important for some sectors than others. Third, we examine the determinants of out-of-sample predictability for each sector using industry characteristics and find strong evidence that return predictability has links to certain industry characteristics, such as book-to-market ratio, dividend yield, size, price earnings ratio, and trading volume.
Journal: International Review of Financial Analysis - Volume 40, July 2015, Pages 38-51