Do industries lead stock markets?

• 成果类型: Article
• 署名作者: Hong, Harrison; Torous, Walter; Valkanov, Rossen
• 署名单位: Princeton University; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.09.010
• 发表日期: 2007
• 页码: 367-396
• 关键词: Asset pricing; information and market efficiency; financial markets and macroeconomy; international financial markets

摘要

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. (c) 2006 Elsevier B.V. All rights reserved.