Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market-Reference-Cited by-同舟云学术

Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market

Published:2021-03-02 Issue:7 Volume:40 Page:1291-1309
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Troster Victor¹^ORCID,Penalva José²^ORCID,Taamouti Abderrahim³^ORCID,Wied Dominik⁴^ORCID

Affiliation:

1. Department of Applied Economics Universitat de les Illes Balears Palma de Mallorca Spain

2. Department of Business Universidad Carlos III de Madrid Getafe Spain

3. Durham Business School Durham University Durham UK

4. Institute for Econometrics and Statistics University of Cologne Köln Germany

Funder

Ministerio de Educación, Cultura y Deporte

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/for.2767

Reference65 articles.

1. Asness C. S. Porter R. B. &Stevens R. L.(2000).Predicting stock returns using industry‐relative firm characteristics. Working Paper. Warrington College of Business at the University of Florida.

2. Transaction costs and predictability: some utility cost calculations

3. Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies

4. Investing for the Long Run when Returns Are Predictable

5. Industry long-term return reversal

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