Matches in SemOpenAlex for { <https://semopenalex.org/work/W3158133079> ?p ?o ?g. }
Showing items 1 to 92 of
92
with 100 items per page.
- W3158133079 endingPage "300" @default.
- W3158133079 startingPage "291" @default.
- W3158133079 abstract "We seek to forecast sector stock returns using established predictor variables. Existing empirical evidence focuses on market level data, and thus, sector data provide fertile ground for research. In addition to in-sample predictive regressions, we consider recursive and rolling forecasts and whether such forecasts can be used successfully in a sector rotation portfolio. The results for ten sectors and eleven predictor variables highlight that two variables, the default return and stock return variance, have significant predictive power across the stock market series. Forecast results are also supportive of these series (especially the default return), which can outperform benchmark and alternative forecast models across a range of metrics. A sector rotation strategy based on these forecasts produces positive abnormal returns and a Sharpe ratio higher than the baseline model. An examination of the sectors at each rotation reveals that a small number of dominate in the constructed portfolios." @default.
- W3158133079 created "2021-05-10" @default.
- W3158133079 creator A5084268715 @default.
- W3158133079 date "2021-05-04" @default.
- W3158133079 modified "2023-10-12" @default.
- W3158133079 title "Forecasting sector stock market returns" @default.
- W3158133079 cites W132030658 @default.
- W3158133079 cites W1483991848 @default.
- W3158133079 cites W1556246636 @default.
- W3158133079 cites W1789808336 @default.
- W3158133079 cites W1981970068 @default.
- W3158133079 cites W1985831331 @default.
- W3158133079 cites W2047775520 @default.
- W3158133079 cites W2080874565 @default.
- W3158133079 cites W2105552698 @default.
- W3158133079 cites W2123518587 @default.
- W3158133079 cites W2144570112 @default.
- W3158133079 cites W2193872219 @default.
- W3158133079 cites W2765843311 @default.
- W3158133079 cites W2914489443 @default.
- W3158133079 cites W3004096023 @default.
- W3158133079 cites W3018504489 @default.
- W3158133079 cites W3121542091 @default.
- W3158133079 cites W3122020290 @default.
- W3158133079 cites W3122829783 @default.
- W3158133079 cites W3123220337 @default.
- W3158133079 cites W3124424746 @default.
- W3158133079 cites W3124690764 @default.
- W3158133079 cites W3124992754 @default.
- W3158133079 cites W3125206422 @default.
- W3158133079 cites W3125579246 @default.
- W3158133079 doi "https://doi.org/10.1057/s41260-021-00220-6" @default.
- W3158133079 hasPublicationYear "2021" @default.
- W3158133079 type Work @default.
- W3158133079 sameAs 3158133079 @default.
- W3158133079 citedByCount "1" @default.
- W3158133079 countsByYear W31581330792023 @default.
- W3158133079 crossrefType "journal-article" @default.
- W3158133079 hasAuthorship W3158133079A5084268715 @default.
- W3158133079 hasBestOaLocation W31581330792 @default.
- W3158133079 hasConcept C106159729 @default.
- W3158133079 hasConcept C111472728 @default.
- W3158133079 hasConcept C127413603 @default.
- W3158133079 hasConcept C138885662 @default.
- W3158133079 hasConcept C139938925 @default.
- W3158133079 hasConcept C149782125 @default.
- W3158133079 hasConcept C151730666 @default.
- W3158133079 hasConcept C162324750 @default.
- W3158133079 hasConcept C204036174 @default.
- W3158133079 hasConcept C2778136018 @default.
- W3158133079 hasConcept C2780299701 @default.
- W3158133079 hasConcept C2780762169 @default.
- W3158133079 hasConcept C2780821815 @default.
- W3158133079 hasConcept C78519656 @default.
- W3158133079 hasConcept C86803240 @default.
- W3158133079 hasConceptScore W3158133079C106159729 @default.
- W3158133079 hasConceptScore W3158133079C111472728 @default.
- W3158133079 hasConceptScore W3158133079C127413603 @default.
- W3158133079 hasConceptScore W3158133079C138885662 @default.
- W3158133079 hasConceptScore W3158133079C139938925 @default.
- W3158133079 hasConceptScore W3158133079C149782125 @default.
- W3158133079 hasConceptScore W3158133079C151730666 @default.
- W3158133079 hasConceptScore W3158133079C162324750 @default.
- W3158133079 hasConceptScore W3158133079C204036174 @default.
- W3158133079 hasConceptScore W3158133079C2778136018 @default.
- W3158133079 hasConceptScore W3158133079C2780299701 @default.
- W3158133079 hasConceptScore W3158133079C2780762169 @default.
- W3158133079 hasConceptScore W3158133079C2780821815 @default.
- W3158133079 hasConceptScore W3158133079C78519656 @default.
- W3158133079 hasConceptScore W3158133079C86803240 @default.
- W3158133079 hasIssue "4" @default.
- W3158133079 hasLocation W31581330791 @default.
- W3158133079 hasLocation W31581330792 @default.
- W3158133079 hasOpenAccess W3158133079 @default.
- W3158133079 hasPrimaryLocation W31581330791 @default.
- W3158133079 hasRelatedWork W1525360216 @default.
- W3158133079 hasRelatedWork W1567992464 @default.
- W3158133079 hasRelatedWork W1770491221 @default.
- W3158133079 hasRelatedWork W1976332594 @default.
- W3158133079 hasRelatedWork W2037653208 @default.
- W3158133079 hasRelatedWork W2766338270 @default.
- W3158133079 hasRelatedWork W3123203051 @default.
- W3158133079 hasRelatedWork W3200806133 @default.
- W3158133079 hasRelatedWork W4283823805 @default.
- W3158133079 hasRelatedWork W4286267888 @default.
- W3158133079 hasVolume "22" @default.
- W3158133079 isParatext "false" @default.
- W3158133079 isRetracted "false" @default.
- W3158133079 magId "3158133079" @default.
- W3158133079 workType "article" @default.