期刊
JOURNAL OF MONETARY ECONOMICS
卷 116, 期 -, 页码 201-218出版社
ELSEVIER
DOI: 10.1016/j.jmoneco.2019.10.005
关键词
Business cycle; Industry returns; Sector rotation strategy; Cash flow news
资金
- 2016 Chicago Quantitative Alliance Annual Academic Competition
y Industries with higher historical business cycle regime Sharpe ratios (RSR) have higher regime-dependent expected returns. Conditional on whether output gap is positive or negative, an out-of-sample long-high-RSR and short-low-RSR sector rotation strategy generates 14.02% annualized alpha in Fama-French five-factor model during 1985-2014. Industry momentum and related anomalies are unlikely to be the source of alpha. Firms in long portfolios have stronger fundamentals, more upward analyst forecast revisions, and more positive forecast errors. Our results suggest that investors don't fully incorporate business cycle variation in cash flow growth and highlight the importance of business cycle on the cross-section of industry returns. (C) 2019 Elsevier B.V. All rights reserved.
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