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Predictability and Underreaction in Industry-Level Returns: Evidence from Commodity Markets
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
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inferredcites →https://doi.org/10.1016/j.iref.2005.05.005openalex-extracted
Shock and volatility transmission in the oil, US and Gulf equity markets
inferredcites →https://doi.org/10.1016/j.iref.2011.09.004openalex-extracted
U.S. industry-level returns and oil prices
inferredcites →https://doi.org/10.1016/j.jacceco.2003.10.002openalex-extracted
Limited attention, information disclosure, and financial reporting
inferredcites →https://doi.org/10.1016/j.jbankfin.2008.10.006openalex-extracted
Economic linkages across commodity futures: Hedging and trading implications
inferredcites →https://doi.org/10.1016/j.jeconom.2006.05.023openalex-extracted
Approximately normal tests for equal predictive accuracy in nested models
inferredcites →https://doi.org/10.1016/j.jfineco.2005.09.010openalex-extracted
Do industries lead stock markets?
inferredcites →https://doi.org/10.1016/j.jfineco.2007.07.008openalex-extracted
Striking oil: Another puzzle?
inferredcites →https://doi.org/10.1016/j.jinteco.2007.02.004openalex-extracted
Real-time price discovery in global stock, bond and foreign exchange markets
inferredcites →https://doi.org/10.1016/s0304-405x(02)00148-4openalex-extracted
Market efficiency in real time
inferredcites →https://doi.org/10.1017/cbo9780511753978.002openalex-extracted
Investigating Causal Relations by Econometric Models and Cross-Spectral Methods
inferredcites →https://doi.org/10.1017/s1074070800002959openalex-extracted
The Relationship between Oil, Exchange Rates, and Commodity Prices
inferredcites →https://doi.org/10.1017/s1365100511000290openalex-extracted
OIL PRICE SHOCKS AND INDUSTRIAL PRODUCTION: IS THE RELATIONSHIP LINEAR?
inferredcites →https://doi.org/10.1093/rfs/hhm014openalex-extracted
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
inferredcites →https://doi.org/10.1111/0022-1082.00379openalex-extracted
Investor Psychology and Asset Pricing
inferredcites →https://doi.org/10.1111/j.1468-2354.2009.00568.xopenalex-extracted
THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*
inferredcites →https://doi.org/10.1111/j.1540-6261.1987.tb04565.xopenalex-extracted
A Simple Model of Capital Market Equilibrium with Incomplete Information
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04702.xopenalex-extracted
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00742.xopenalex-extracted
The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks
inferredcites →https://doi.org/10.1111/j.1540-6288.2010.00282.xopenalex-extracted
Oil and the Stock Market: An Industry Level Analysis
inferredcites →https://doi.org/10.1111/jofi.12186openalex-extracted
Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
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Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices
inferredcites →https://doi.org/10.2139/ssrn.1501135openalex-extracted
Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
inferredcites →https://doi.org/10.2139/ssrn.1652834openalex-extracted
Do OPEC Members Know Something the Market Doesn’t? ‘Fair Price’ Pronouncements and the Market Price of Crude Oil
inferredcites →https://doi.org/10.2139/ssrn.265132openalex-extracted
Investor Psychology and Asset Pricing
inferredcites →https://doi.org/10.2139/ssrn.423982openalex-extracted
The Stock Market's Reaction to Unemployment News: 'Why Bad News is Usually Good for Stocks'
inferredcites →https://doi.org/10.2307/1243147openalex-extracted
The Reaction of Live Hog Futures Prices to USDA Hogs and Pigs Reports
inferredcites →https://doi.org/10.2307/1912791openalex-extracted
Investigating Causal Relations by Econometric Models and Cross-spectral Methods
inferredcites →https://doi.org/10.2307/1913610openalex-extracted
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.2307/20075288openalex-extracted
Truncated Distributed Lags in Small Sample Panel Models
inferredcites →https://doi.org/10.2307/2490232openalex-extracted
An Empirical Evaluation of Accounting Income Numbers
inferredcites →https://doi.org/10.2469/faj.v62.n2.4083openalex-extracted
Facts and Fantasies about Commodity Futures
inferredcites →https://doi.org/10.3386/w6324openalex-extracted
A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets
inferredcites →https://doi.org/10.3905/jai.2010.12.3.076openalex-extracted
Commodities and Equities: Ever a “Market of One”?
inferredcites →https://doi.org/10.1002/(sici)1096-9934(199602)16:1<1::aid-fut1>3.0.co;2-qopenalex-snapshot
Energy shocks and financial markets
inferredcites →https://doi.org/10.1081/etc-200040785openalex-snapshot
In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
inferredcites →https://doi.org/10.1093/rapstu/rar002openalex-snapshot
Limited Investor Attention and Stock Market Misreactions to Accounting Information
inferredcites →https://doi.org/10.1111/0022-1082.00184openalex-snapshot
A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets
inferredcites →https://doi.org/10.1287/mnsc.2017.2933openalex-snapshot
Stock Market Predictability and Industrial Metal Returns
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
inferred← citeshttps://doi.org/10.1016/j.eneco.2014.01.009openalex-snapshot
The relationship between energy and equity markets: Evidence from volatility impulse response functions
inferred← citeshttps://doi.org/10.1016/j.iref.2015.08.013openalex-snapshot
Can commodity returns forecast Canadian sector stock returns?
inferred← citeshttps://doi.org/10.1016/j.iref.2021.04.002openalex-snapshot
Gold, platinum, and industry stock returns
inferred← citeshttps://doi.org/10.1080/1351847x.2017.1323770openalex-snapshot
Stock returns forecasting with metals: sentiment vs. fundamentals
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