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Can commodity returns forecast Canadian sector stock returns?
journal contributionposted on 2016-06-10, 10:33 authored by Steven J. Jordan, Andrew VivianAndrew 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.
- Business and Economics
Published inInternational Review of Economics and Finance
Pages172 - 188
CitationJORDAN, 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.
- SMUR (Submitted Manuscript Under Review)
Publisher statementThis 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/
NotesThis paper is in closed access.