haku: @author Torous, W. / yhteensä: 5
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| Tekijä: | Hong, H. Torous, W. Valkanov, R. |
| Otsikko: | Do industries lead stock markets? |
| Lehti: | Journal of Financial Economics
2007 : FEB, VOL. 83:2, p. 367-396 |
| Asiasana: | financial markets stock markets information market efficiency assets pricing macroeconomics |
| Kieli: | eng |
| Tiivistelmä: | This study investigates whether stock market (here as: st-m./st-ms.) movements are predicted by the returns (here as: rets.) of industry portfolios. In the U.S., a significant number of industry rets., incl. services, retail, commercial real estate, and petroleum etc. forecast the st-m. by up to 2 months. The 8 largest non-U.S. st-ms. show remarkably similar patterns. It is suggested that st-ms. react with a delay to information (as: info.) contained in industry rets. about their fundamentals and that info. diffuses only gradually across markets. |
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