Predicting Asset Returns With Expected Oil Price Changes

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