Do industries lead stock markets? A reexamination
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- 作者：Yiuman Tse tseyi@umsl.edu" class="auth_mail" title="E-mail the corresponding author
- 关键词：Asset pricing ; Financial markets and macroeconomy ; Information and market efficiency
- 刊名：Journal of Empirical Finance
- 出版年：2015
- 出版时间：December 2015
- 年：2015
- 卷：34
- 期：Complete
- 页码：195-203
- 全文大小：225 K
文摘
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I reexamine the results of Hong et al. (2007).
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Few industries can predict the market using extended period and data.
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The results of Hong et al. are less significant after data revisions.
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I find some evidence of the opposite predictive direction from the market to industries.
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The overall results are consistent with market efficiency.