Industry Interdependencies and Cross-Industry Return Predictability
نویسندگان
چکیده
منابع مشابه
Industry Interdependencies and Cross-Industry Return Predictability
We use the adaptive LASSO from the statistical learning literature to identify economically connected industries in a general predictive regression framework. The framework permits complex industry interdependencies, including both direct and indirect sectoral links. Consistent with gradual information diffusion across economically connected industries, we find extensive evidence that lagged re...
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MICHAEL J. LENOX Fuqua School of Business Duke University PO Box 90210 Durham, NC 27708 Tel: (919) 660-8025 Fax: (919) 681-6244 [email protected] SCOTT F. ROCKART Fuqua School of Business Duke University PO Box 90210 Durham, NC 27708 Tel: (919) 660-7998 Fax: (919) 681-6244 [email protected] ARIE Y. LEWIN Fuqua School of Business Duke University PO Box 90210 Durham, NC 27708 Tel: (919) 660-7832 Fa...
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This publication is available in alternative media on request. The Pennsylvania State University is committed to the policy that all persons shall have equal access to programs, facilities, admission, and employment without regard to personal characteristics not related to ability, performance, or qualifications as determined by University policy or by state or federal authorities. The Pennsylv...
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This paper examineswhetherwe can improve the predictability of financial return series by exploiting the effect of cross-correlations among different financial markets. We forecast financial return series based on the support vector machines (SVM) method, which can surpass the random-walk model consistently. By comparing the mean absolute errors and the root mean squared errors, we show that it...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2015
ISSN: 1556-5068
DOI: 10.2139/ssrn.2566541