IDEAS home Printed from https://ideas.repec.org/a/cup/jfinqa/v52y2017i01p37-69_00.html
   My bibliography  Save this article

Industrial Electricity Usage and Stock Returns

Author

Listed:
  • Da, Zhi
  • Huang, Dayong
  • Yun, Hayong

Abstract

The growth rate of industrial electricity usage predicts future stock returns up to 1 year with an R 2 of 9%. High industrial electricity usage today predicts low stock returns in the future, consistent with a countercyclical risk premium. Industrial electricity usage tracks the output of the most cyclical sectors. Our findings bridge a gap between the asset pricing literature and the business cycle literature, which uses industrial electricity usage to gauge production and output in real time. Industrial electricity growth compares favorably with traditional financial variables, and it outperforms Cooper and Priestley’s output gap measure in real time.

Suggested Citation

  • Da, Zhi & Huang, Dayong & Yun, Hayong, 2017. "Industrial Electricity Usage and Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(1), pages 37-69, February.
    • Handle: RePEc:cup:jfinqa:v:52:y:2017:i:01:p:37-69_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S002210901600079X/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Stig V. Møller & Jesper Rangvid, 2018. "Global Economic Growth and Expected Returns Around the World: The End-of-the-Year Effect," Management Science, INFORMS, vol. 64(2), pages 573-591, February.
    2. Pei, Duo & Vasarhelyi, Miklos A., 2020. "Big data and algorithmic trading against periodic and tangible asset reporting: The need for U-XBRL," International Journal of Accounting Information Systems, Elsevier, vol. 37(C).
    3. Chen Lin & Thomas Schmid & Michael S. Weisbach, 2019. "Climate Change, Operating Flexibility and Corporate Investment Decisions," NBER Working Papers 26441, National Bureau of Economic Research, Inc.
    4. Pham, Quynh Thi Thuy & Rudolf, Markus, 2021. "Gold, platinum, and industry stock returns," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 252-266.
    5. Karmakar, Sayar & Demirer, Riza & Gupta, Rangan, 2021. "Bitcoin mining activity and volatility dynamics in the power market," Economics Letters, Elsevier, vol. 209(C).
    6. Denholm, Paul & Mai, Trieu, 2019. "Timescales of energy storage needed for reducing renewable energy curtailment," Renewable Energy, Elsevier, vol. 130(C), pages 388-399.
    7. Fragaki, Aikaterini & Markvart, Tom & Laskos, Georgios, 2019. "All UK electricity supplied by wind and photovoltaics – The 30–30 rule," Energy, Elsevier, vol. 169(C), pages 228-237.
    8. Chen, Yong & Da, Zhi & Huang, Dayong, 2022. "Short selling efficiency," Journal of Financial Economics, Elsevier, vol. 145(2), pages 387-408.
    9. Deepak, K. & Pattanaik, M.S. & Ramanujan, R.V., 2019. "Figure of merit and improved performance of a hybrid thermomagnetic oscillator," Applied Energy, Elsevier, vol. 256(C).
    10. Tu, Ran & Gai, Yijun (Jessie) & Farooq, Bilal & Posen, Daniel & Hatzopoulou, Marianne, 2020. "Electric vehicle charging optimization to minimize marginal greenhouse gas emissions from power generation," Applied Energy, Elsevier, vol. 277(C).
    11. , & Stein, Tobias, 2021. "Equity premium predictability over the business cycle," CEPR Discussion Papers 16357, C.E.P.R. Discussion Papers.
    12. Ashley Lim & Yihui Lan & Sirimon Treepongkaruna, 2020. "Asset pricing and energy consumption risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3813-3850, December.
    13. Atanasov, Victoria, 2018. "World output gap and global stock returns," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 181-197.
    14. Talebian, Hoda & Herrera, Omar E. & Tran, Martino & Mérida, Walter, 2018. "Electrification of road freight transport: Policy implications in British Columbia," Energy Policy, Elsevier, vol. 115(C), pages 109-118.
    15. Deepak, K. & Varma, V.B. & Prasanna, G. & Ramanujan, R.V., 2019. "Hybrid thermomagnetic oscillator for cooling and direct waste heat conversion to electricity," Applied Energy, Elsevier, vol. 233, pages 312-320.
    16. Bourdeau-Brien, Michael & Kryzanowski, Lawrence, 2020. "Natural disasters and risk aversion," Journal of Economic Behavior & Organization, Elsevier, vol. 177(C), pages 818-835.
    17. Wang, Qiao & Balvers, Ronald, 2021. "Determinants and predictability of commodity producer returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
    18. Ji, Haoran & Wang, Chengshan & Li, Peng & Zhao, Jinli & Song, Guanyu & Ding, Fei & Wu, Jianzhong, 2017. "An enhanced SOCP-based method for feeder load balancing using the multi-terminal soft open point in active distribution networks," Applied Energy, Elsevier, vol. 208(C), pages 986-995.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:52:y:2017:i:01:p:37-69_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/jfq .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.