A1544
Title: Do not industries lead stock markets?
Authors: Sam Pybis - Manchester Metropolitan Universty (United Kingdom) [presenting]
Michalis Stamatogiannis - University of Liverpool Management School (United Kingdom)
Olan Henry - University of Liverpool (United Kingdom)
Abstract: The purpose is to investigate the predictability of the US aggregate equity risk premium by an index that incorporates information from industry portfolio returns. The index is constructed using the partial least squares methodology. Using monthly data for 1951-2021, it is found that the industrial portfolios index is a strong predictor of the S\&P 500 index.
