EconPapers    
Economics at your fingertips  
 

Stock return forecasting: Some new evidence

Dinh Phan (), Susan Sharma and Paresh Narayan ()

International Review of Financial Analysis, 2015, vol. 40, issue C, 38-51

Abstract: This paper makes three contributions to the literature on forecasting stock returns. First, unlike the extant literature on oil price and stock returns, we focus on out-of-sample forecasting of returns. We show that the ability of the oil price to forecast stock returns depends not only on the data frequency used but also on the estimator. Second, out-of-sample forecasting of returns is sector-dependent, suggesting that oil price is relatively more important for some sectors than others. Third, we examine the determinants of out-of-sample predictability for each sector using industry characteristics and find strong evidence that return predictability has links to certain industry characteristics, such as book-to-market ratio, dividend yield, size, price earnings ratio, and trading volume.

Keywords: Stock returns; Oil price; Predictability; Forecasting; Out-of-sample (search for similar items in EconPapers)
JEL-codes: C22 E37 G17 Q43 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (138)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521915000848
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Stock return forecasting: some new evidence (2015) Downloads
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:finana:v:40:y:2015:i:c:p:38-51

DOI: 10.1016/j.irfa.2015.05.002

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-31
Handle: RePEc:eee:finana:v:40:y:2015:i:c:p:38-51