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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Bibliographic Details

Main Authors:	Victor J. Valcarcel, Andrew Vivian, Mark Wohar
Format:	Default Article
Published:	2017
Subjects:	Other commerce, management, tourism and services not elsewhere classified Asset pricing Commodity markets Equity markets Industry-level returns Information and market efficiency Predictability Out-of-sample forecast ability Underreaction Business and Management not elsewhere classified
Online Access:	https://hdl.handle.net/2134/24796
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