کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5106469 1481511 2017 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Predictability and underreaction in industry-level returns: Evidence from commodity markets
ترجمه فارسی عنوان
پیش بینی و عدم رضایت در بازده صنعتی: شواهد از بازار کالا
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی های تجدید پذیر، توسعه پایدار و محیط زیست
چکیده انگلیسی
This paper finds significant evidence that commodity log price changes can predict industry-level returns for horizons of up to six trading weeks (30 days). We find that for the 1985-2010 period, 40 out of 49 U.S. industries can be predicted by at least one commodity. Our findings are consistent with Hong and Stein's (1999) “underreaction hypothesis.” Unlike prior literature, we pinpoint the length of underreaction by employing daily data. We provide a comprehensive examination of the return linkages among 25 commodities and 49 industries. This provides a more detailed investigation of underreaction and investor inattention hypotheses than most related literature. Finally, we implement data-mining robust methods to assess the statistical significance of industry returns reactions to commodity log price changes, with precious metals (such as gold) featuring most prominently. While our results indicate modest out-of-sample forecast ability, they confirm evidence that commodity data can predict equity returns more than four trading weeks ahead.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Commodity Markets - Volume 6, June 2017, Pages 1-15
نویسندگان
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