Metal_Commodity_Forecasting_G7_Returns_17 - 28.2.17_MW-AVedits - no highlight.pdf (737.92 kB)
Stock returns forecasting with metals: Sentiment vs. fundamentals
journal contribution
posted on 2017-04-25, 10:57 authored by Steven J. Jordan, Andrew VivianAndrew Vivian, Mark WoharUsing 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 FinanceVolume
24Issue
6Pages
458-477Citation
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
2017-04-10Publication date
2017-05-24Copyright date
2018Notes
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
1466-4364Publisher version
Language
- en