Harvey, Kellard, Madsen and Wohar (2010, Review of Economics and Statistics, 92, 367-377) contains data construction errors and the reported results are incorrect. This erratum provides the corrected results

This paper finds significant evidence that commodity price changes can predict industry-level returns for horizons between one trading day and up to six trading weeks (30 days). We find that for the 1985-2010 period, 40 out of 49 U.S. industries can be predicted by at least one commodity. Our...