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Stock return predictability over four centuries: The role of commodity returns
We merge two unique historical datasets on commodity and stock prices covering four centuries and three leading stock markets (Netherlands, UK, and US) to show that, consistent with theoretical predictions, commodity returns can predict stock returns. We show that about 64% and 56% of the commodity...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Published by Elsevier Inc.
2021
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7395295/ https://www.ncbi.nlm.nih.gov/pubmed/32837384 http://dx.doi.org/10.1016/j.frl.2020.101711 |