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Stock returns forecasting with metals: Sentiment vs. fundamentals

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journal contribution
posted on 25.04.2017, 10:57 by Steven J. Jordan, Andrew VivianAndrew Vivian, Mark Wohar
Using six prominent metal commodities, we provide evidence on the out-of-sample forecasting of stock returns for the market indices of the G7 countries, for which there is little prior evidence in this context. We find precious metals (Gold and Silver) can improve forecast accuracy relative to the benchmark and performs well compared to forecast combinations. From an economic gains perspective, forecasting returns provides certainty equivalent gains in a market-timing strategy for the G7 countries. These certainty equivalent gains are large enough to make active portfolio management attractive, even for individual investors. Gains remain after considering reasonable transaction costs.

History

School

  • Business and Economics

Department

  • Business

Published in

The European Journal of Finance

Volume

24

Issue

6

Pages

458-477

Citation

JORDAN, S.J., VIVIAN, A.J. and WOHAR, M.E., 2017. Stock returns forecasting with metals: Sentiment vs. fundamentals. The European Journal of Finance, 24 (6), pp.458-477.

Publisher

© Taylor & Francis (Routledge)

Version

AM (Accepted Manuscript)

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/

Acceptance date

10/04/2017

Publication date

2017-05-24

Copyright date

2018

Notes

This is an Accepted Manuscript of an article published by Taylor & Francis in The European Journal of Finance on 24 May 2017, available online: http://www.tandfonline.com/10.1080/1351847X.2017.1323770.

ISSN

1466-4364

Language

en