Casassus, Jaime; Higuera, Freddy - In: Quantitative Finance 12 (2012) 12, pp. 1909-1934
This paper shows that oil price changes, measured as short-term futures returns, are a strong predictor of excess stock returns at short horizons. Ours is a leading variable for the business cycle and exhibits low persistence which avoids the fictitious long-horizon predictability associated...