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Title: Can commodity returns forecast Canadian sector stock returns?
Authors: Jordan, Steven J.
Vivian, Andrew J.
Wohar, Mark E.
Keywords: Return forecasting
Transaction costs
Forecast combinations
Issue Date: 2016
Publisher: © Elsevier
Citation: JORDAN, S.J., VIVIAN, A. and WOHAR, M.E., 2016. Can commodity returns forecast Canadian sector stock returns?. International Review of Economics and Finance, 41, pp. 172-188.
Abstract: © 2015 Elsevier Inc. Using a wide range of commodities, we provide some evidence that commodity returns can forecast eight Canadian sector equity returns out-of-sample. In particular, there is some evidence that the recently developed bagging method can improve forecast accuracy relative to the benchmark and performs well compared to forecast combinations. From an economic gains perspective, forecasting sector returns provides certainty equivalent gains in a sector rotation strategy. We also model the impact of transaction costs upon economic value and find that gains can be generated when transaction costs are low.
Description: This paper is in closed access.
Version: Submitted for publication
DOI: 10.1016/j.iref.2015.08.013
URI: https://dspace.lboro.ac.uk/2134/21584
Publisher Link: http://dx.doi.org/10.1016/j.iref.2015.08.013
ISSN: 1059-0560
Appears in Collections:Closed Access (Business)

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