Predictability and underreaction in industry-level returns: Evidence from commodity markets
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 wit...
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Main Authors: | Victor J. Valcarcel, Andrew Vivian, Mark Wohar |
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Format: | Default Article |
Published: |
2017
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Subjects: | |
Online Access: | https://hdl.handle.net/2134/24796 |
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