Stock return predictability over four centuries: The role of commodity returns

Bernard Njindan Iyke and Sin-Yu Ho

Finance Research Letters, 2021, vol. 40, issue C

Abstract: 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 returns can predict stock returns in-sample and out-of-sample, respectively. Aggregating commodity returns by market, returns from agriculture, energy, and livestock and meat markets appear to consistently predict stock returns. These results are robust to recessions and expansions.

Keywords: Stock return predictability; Commodity returns; Four centuries (search for similar items in EconPapers)
JEL-codes: G12 G17 N2 Q02 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612320307947
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320307947

DOI: 10.1016/j.frl.2020.101711

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().