Forecasting the sign of U.S. oil and gas industry stock index excess returns employing macroeconomic variables

Liu, JingzhenKemp, Alexander2020-11-022020-11-022019-06Liu, J & Kemp, A 2019, 'Forecasting the sign of U.S. oil and gas industry stock index excess returns employing macroeconomic variables', Energy Economics, vol. 81, pp. 672-686. https://doi.org/10.1016/j.eneco.2019.04.0230140-9883Mendeley: db6b7b2b-6e42-3136-b209-fa83eed485b9ORCID: /0000-0001-7620-7161/work/147569637https://hdl.handle.net/2164/15302The authors are grateful for the funding support of the University of Aberdeen Elphinstone Scholarship for this research. The authors thank the Associate Editor and two referees for their critical comments that have led to significant improvements of the paper.151344106engSDG 7 - Affordable and Clean EnergyExcess stock returnU.S. Oil and gas industryProbit modelMarket timingBig dataUS Oil and gas industryMARKETPERFORMANCEINFORMATIONTRADING RULE PROFITSRISK EXPOSURECLASSIFICATIONSHARPEMODEL SELECTIONCANADIAN OILPRICE RISKHB Economic TheoryHBForecasting the sign of U.S. oil and gas industry stock index excess returns employing macroeconomic variablesJournal article10.1016/j.eneco.2019.04.023http://www.mendeley.com/research/forecasting-sign-oil-gas-industry-stock-index-excess-returns-employing-macroeconomic-variables-181