Li, Xiyang; Li, Bin; Singh, Tarlok; Shi, Kan - In: Accounting Research Journal 33 (2020) 2, pp. 411-433
Purpose: This study aims to draw on a less explored predictor – the average correlation of pairwise returns on industry portfolios – to predict stock market returns (SMRs) in the USA. Design/methodology/approach: This study uses the average correlation approach of Pollet and Wilson (2010)...
