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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/24795

Title: Stock returns forecasting with metals: Sentiment vs. fundamentals
Authors: Jordan, Steven J.
Vivian, Andrew J.
Wohar, Mark E.
Keywords: Return forecasting
Transaction costs
Forecast combinations
Issue Date: 2017
Publisher: © Taylor & Francis (Routledge)
Citation: JORDAN, S.J., VIVIAN, A.J. and WOHAR, M.E., 2017. Stock returns forecasting with metals: Sentiment vs. fundamentals. The European Journal of Finance, 24 (6), pp.458-477.
Abstract: Using six prominent metal commodities, we provide evidence on the out-of-sample forecasting of stock returns for the market indices of the G7 countries, for which there is little prior evidence in this context. We find precious metals (Gold and Silver) can improve forecast accuracy relative to the benchmark and performs well compared to forecast combinations. From an economic gains perspective, forecasting returns provides certainty equivalent gains in a market-timing strategy for the G7 countries. These certainty equivalent gains are large enough to make active portfolio management attractive, even for individual investors. Gains remain after considering reasonable transaction costs.
Description: This paper is in closed access until 24 Nov 2018
Version: Accepted for publication
DOI: 10.1080/1351847X.2017.1323770
URI: https://dspace.lboro.ac.uk/2134/24795
Publisher Link: http://dx.doi.org/10.1080/1351847X.2017.1323770
ISSN: 1466-4364
Appears in Collections:Closed Access (Business)

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