Do industries lead stock markets?

详细信息    查看全文

• 作者：Harrison Hong ; Walter Torous ; Rossen Valkanov
• 关键词：Asset pricing ; Information and market efficiency ; Financial markets and macroeconomy ; International financial markets
• 刊名：Journal of Financial Economics
• 出版年：2007
• 出版时间：February 2007
• 年：2007
• 卷：83
• 期：2
• 页码：367-396
• 全文大小：316 K

文摘

We investigate whether the returns of industry portfolios predict stock market movements. In the US, a significant number of industry returns, including retail, services, commercial real estate, metal, and petroleum, forecast the stock market by up to two months. Moreover, the propensity of an industry to predict the market is correlated with its propensity to forecast various indicators of economic activity. The eight largest non-US stock markets show remarkably similar patterns. These findings suggest that stock markets react with a delay to information contained in industry returns about their fundamentals and that information diffuses only gradually across markets.