Beschreibung:
Market returns and industry performance are predicted by forecastable oil price movements. Although predictability can be compatible with market efficiency, these results may be more readily explained by underreaction to information about subsequent oil price changes. Some market participants appear to ignore the effect of partially anticipated oil price movements on non-oil industrial sectors. The evidence from the oil industry indicates that the asset returns of stocks explicitly dependent on the price of oil are not forecastable using the predicted component of oil price changes. The predictability of both aggregate returns and the relative performance for some industries, such as household goods, medical equipment, construction, fabricated products, mines, real estate, and finance suggests that market participants may not pay attention to the broader impact of forecastable oil price changes