Industry Interdependencies and Cross-Industry Return Predictability

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 framework that accommodates complex industry interdependencies. Our results show that lagged returns of interdependent industries are significant predictors of individual ind...

Full description

Saved in:
Bibliographic Details
Main Authors: RAPACH, David E., STRAUSS, Jack, Tu, Jun, ZHOU, Guofu
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2015
Subjects:
Complex industry interdependencies
Predictive regression
Adaptive LASSO
Central node; Industry-rotation portfolio
Business cycle
Multifactor model
Principal components
Target-relevant factors
Business
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/4515
https://ink.library.smu.edu.sg/context/lkcsb_research/article/5514/viewcontent/RapachStraussTu_2015Dec8_IndustryInterdependenciesXindustryReturnPred_WP.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/4515
https://ink.library.smu.edu.sg/context/lkcsb_research/article/5514/viewcontent/RapachStraussTu_2015Dec8_IndustryInterdependenciesXindustryReturnPred_WP.pdf

Similar Items