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- W4309931553 abstract "This paper examines the ability of the past long-run changes in oil price to predict the stock returns in the U.S. market. We find this long-lag model performs much better than the one-lag model. The past long-run changes in oil price contain useful information about future real stock returns and excess returns over a Treasury bill rate. This variable alone can capture more than 1% variations of next horizon (month) excess returns, and the predictive power are increasingly strong for long-horizon stock return. These findings are robust when considering other popular predictors into the model, these results are also maintained when considering various subsamples. For out-of-sample examination, the results of McCraken’s (2007) Ros2 and Clark and West’s (2007) MSPE-adjusted statistic explore that this variable contains useful information of future stock returns. More interestingly, the past long-run oil price changes also perform strong predictive power on excess returns for non-US countries." @default.
- W4309931553 created "2022-11-30" @default.
- W4309931553 creator A5048249732 @default.
- W4309931553 date "2023-03-01" @default.
- W4309931553 modified "2023-09-23" @default.
- W4309931553 title "The role of the past long-run oil price changes in stock market" @default.
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- W4309931553 doi "https://doi.org/10.1016/j.iref.2022.11.021" @default.
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