Economic Causal Chain and Predictable Stock Returns
| Autor: | Nakagawa Kei, Izumi Kiyoshi, Sashida Shingo, Sakaji Hiroki |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
050208 finance
Financial economics Supply chain 05 social sciences 010501 environmental sciences 01 natural sciences 0502 economics and business Causal chain Economics Profitability index Stock market Predictability Lagging Stock (geology) Financial statement 0105 earth and related environmental sciences |
| Zdroj: | IIAI-AAI |
| Popis: | A lead-lag effect in stock markets describes the situation where one (leading) stock return is cross-correlated with another (lagging) stock return at later times. There are various methods for stock return forecasting based on such a lead-lag effect. One of the most representative methods is based on the supply chain network. In this research, we propose a stock return forecasting method with an economic causal chain. The economic causal chain refers to a cause and effect network structure constructed by extracting a description indicating a causal relationship from the texts of Japanese financial statement summaries. We examine whether the lead-lag effect spreads to the 'effect' stock group when there is a large stock fluctuation in the 'cause' stock group in the causal chain. We confirm the profitability of the proposed strategy and the evidence of stock return predictability across causally linked firms in the Japanese stock market. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|