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Industry Interdependencies and Cross-Industry Return Predictability · Study

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PreprintIndustry Interdependencies and Cross-Industry Return Predictability

David E. Rapach2015

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Preprintgreen2015

Industry Interdependencies and Cross-Industry Return Predictability

David E. Rapach · Jack Strauss · Jun Tu · Guofu Zhou

34 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1987A Simple Model of Capital Market Equilibrium with Incomplete Information 2003Liquidity Risk and Expected Stock Returns 2002Determining the Number of Factors in Approximate Factor Models 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets 1953A New Status Index Derived from Sociometric Analysis

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2018Do industry returns predict the stock market? A reprise using the random forest

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Details

Year2015

Typepreprint

Published2015-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations34

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.2566541

openalex_workW1539346024

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