Are Industry Stock Returns Predictable?

Kenneth R. Beller, John L. Kling and Michael J. Levinson

Financial Analysts Journal, 1998, vol. 54, issue 5, 42-57

Abstract: We investigated in-sample and out-of-sample predictability of equal-weighted and capitalization-weighted quarterly excess returns for 55 industries over the 1973–95 period. The in-sample analysis supported predictability for about 80 percent of the cap-weighted industries and about 90 percent of the equal-weighted industries. The out-of-sample analysis provided strong evidence that the forecasting models for industry returns combined with mean–variance optimization criteria are useful for portfolio selection.

Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.2469/faj.v54.n5.2211 (text/html)
Access to full text is restricted to subscribers.

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:taf:ufajxx:v:54:y:1998:i:5:p:42-57

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/ufaj20

DOI: 10.2469/faj.v54.n5.2211

Access Statistics for this article

Financial Analysts Journal is currently edited by Maryann Dupes

More articles in Financial Analysts Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().