Does history repeat itself? Business cycle and industry returns

• 成果类型: Article
• 署名作者: Chava, Sudheer; Hsu, Alex; Zeng, Linghang
• 署名单位: University System of Georgia; Georgia Institute of Technology; Babson College
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.10.005
• 发表日期: 2020
• 页码: 201-218
• 关键词: Business cycle; Industry returns; Sector rotation strategy; Cash flow news

摘要

y Industries with higher historical business cycle regime Sharpe ratios (RSR) have higher regime-dependent expected returns. Conditional on whether output gap is positive or negative, an out-of-sample long-high-RSR and short-low-RSR sector rotation strategy generates 14.02% annualized alpha in Fama-French five-factor model during 1985-2014. Industry momentum and related anomalies are unlikely to be the source of alpha. Firms in long portfolios have stronger fundamentals, more upward analyst forecast revisions, and more positive forecast errors. Our results suggest that investors don't fully incorporate business cycle variation in cash flow growth and highlight the importance of business cycle on the cross-section of industry returns. (C) 2019 Elsevier B.V. All rights reserved.