Abstract
We investigate empirically whether returns of stocks from one industry predict those of another. We analyze this question through a VAR process and find downstream predictability in the supply chain along with synergy predictability. We use a portfolio selection framework in order to analyze whether the predictability, in addition to being statistically significant, is also economically relevant. Here, we find significant out-of-sample excess returns, and a noteworthy increase in Sharpe ratio.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
