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...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2015
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |