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Time-Series Predictability for Sector Investing

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  • Jin Suk Park
  • Mohammad Khaleq Newaz

Abstract

This study identifies the indicators of sector-level time-series predictability. The results show that investors can expect higher predictability in the more volatile sectors. In the developed markets, price downtrends, lower trading volume, and higher dividend yields indicate stronger predictability. The cyclical and sensitive super-sectors become more predictable as liquidity goes down. Particularly in the cyclical super-sectors, smaller market capitalization and larger term spread also indicate predictability. Sector selection based on the indicators can generate economic benefits.

Suggested Citation

  • Jin Suk Park & Mohammad Khaleq Newaz, 2023. "Time-Series Predictability for Sector Investing," Financial Analysts Journal, Taylor & Francis Journals, vol. 79(3), pages 136-154, July.
    • Handle: RePEc:taf:ufajxx:v:79:y:2023:i:3:p:136-154
    DOI: 10.1080/0015198X.2023.2208028
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