Anmerkungen:
In: Review of Finance, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 30, 2017 erstellt
Beschreibung:
In this paper, we forecast industry returns out-of-sample using the cross-section of book-to-market ratios and investigate whether investors can exploit this predictability in portfolio allocation. Cash-flow and return forecasting regressions show that cross-industry book-to-market ratios contain significant predictive information beyond aggregate and industry-specific book-to-market ratios. Forecast combination methods based on industry book-to-market ratios generate significant out-of-sample predictability for many industries. Real-time portfolio-rotation strategies that buy industries with high predicted returns and short industries with low predicted returns based on combination forecasts earn significant alpha with respect to standard asset pricing models net of transaction costs