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Can commodity returns forecast Canadian sector stock returns?

journal contribution
posted on 10.06.2016 by Steven J. Jordan, Andrew Vivian, Mark Wohar
© 2015 Elsevier Inc. Using a wide range of commodities, we provide some evidence that commodity returns can forecast eight Canadian sector equity returns out-of-sample. In particular, there is some evidence that the recently developed bagging method can improve forecast accuracy relative to the benchmark and performs well compared to forecast combinations. From an economic gains perspective, forecasting sector returns provides certainty equivalent gains in a sector rotation strategy. We also model the impact of transaction costs upon economic value and find that gains can be generated when transaction costs are low.

History

School

  • Business and Economics

Department

  • Business

Published in

International Review of Economics and Finance

Volume

41

Pages

172 - 188

Citation

JORDAN, S.J., VIVIAN, A. and WOHAR, M.E., 2016. Can commodity returns forecast Canadian sector stock returns?. International Review of Economics and Finance, 41, pp. 172-188.

Publisher

© Elsevier

Version

SMUR (Submitted Manuscript Under Review)

Publisher statement

This work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/

Publication date

2015-09-16

Notes

This paper is in closed access.

ISSN

1059-0560

Language

en

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