Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/22735
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dc.contributor.authorBlack, Angelaen_UK
dc.contributor.authorKlinkowska, Olgaen_UK
dc.contributor.authorMcMillan, Daviden_UK
dc.contributor.authorMcMillan, Fionaen_UK
dc.date.accessioned2016-01-18T23:32:06Z-
dc.date.available2016-01-18T23:32:06Zen_UK
dc.date.issued2014-12en_UK
dc.identifier.urihttp://hdl.handle.net/1893/22735-
dc.description.abstractThis paper examines the relationship between stock prices and commodity prices and whether this can be used to forecast stock returns. As both prices are linked to expected future economic performance they should exhibit a long-run relationship. Moreover, changes in sentiment towards commodity investing may affect the nature of the response to disequilibrium. Results support cointegration between stock and commodity prices, while Bai–Perron tests identify breaks in the forecast regression. Forecasts are computed using a standard fixed (static) in-sample/out-of-sample approach and by both recursive and rolling regressions, which incorporate the effects of changing forecast parameter values. A range of model specifications and forecast metrics are used. The historical mean model outperforms the forecast models in both the static and recursive approaches. However, in the rolling forecasts, those models that incorporate information from the long-run stock price/commodity price relationship outperform both the historical mean and other forecast models. Of note, the historical mean still performs relatively well compared to standard forecast models that include the dividend yield and short-term interest rates but not the stock/commodity price ratio.en_UK
dc.language.isoenen_UK
dc.publisherWiley-Blackwellen_UK
dc.relationBlack A, Klinkowska O, McMillan D & McMillan F (2014) Forecasting Stock Returns: Do Commodities Prices Help?. Journal of Forecasting, 33 (8), pp. 627-639. https://doi.org/10.1002/for.2314.en_UK
dc.rightsThe publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.en_UK
dc.subjectstock pricesen_UK
dc.subjectcommodity pricesen_UK
dc.subjectforecastingen_UK
dc.subjectrollingen_UK
dc.titleForecasting Stock Returns: Do Commodities Prices Help?en_UK
dc.typeJournal Articleen_UK
dc.rights.embargodate2999-12-20en_UK
dc.rights.embargoreason[Black_et_al-2014-Journal_of_Forecasting.pdf] : The publisher does not allow this work to be made publicly available in this Repository therefore there is an embargo on the full text of the work.en_UK
dc.identifier.doi10.1002/for.2314en_UK
dc.citation.jtitleJournal of Forecastingen_UK
dc.citation.issn1099-131Xen_UK
dc.citation.issn0277-6693en_UK
dc.citation.volume33en_UK
dc.citation.issue8en_UK
dc.citation.spage627en_UK
dc.citation.epage639en_UK
dc.citation.publicationstatusPublisheden_UK
dc.citation.peerreviewedRefereeden_UK
dc.type.statusVoR - Version of Recorden_UK
dc.author.emaildavid.mcmillan@stir.ac.uken_UK
dc.citation.date20/10/2014en_UK
dc.contributor.affiliationUniversity of Aberdeenen_UK
dc.contributor.affiliationUniversity of Aberdeenen_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.contributor.affiliationUniversity of Dundeeen_UK
dc.identifier.isi000345022400004en_UK
dc.identifier.scopusid2-s2.0-84910055261en_UK
dc.identifier.wtid580378en_UK
dc.contributor.orcid0000-0002-5891-4193en_UK
dc.date.accepted2014-06-27en_UK
dc.date.firstcompliantdepositdate2016-01-15en_UK
dc.description.refREF Compliant by Deposit in Stirling's Repositoryen_UK
Appears in Collections:Accounting and Finance Journal Articles

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