This paper examines the relationship between stock prices and commodity prices and whether this can be used to forecast stock returns. As both prices are linked to expected future economic performance they should exhibit a long-run relationship. Moreover, changes in sentiment towards commodity...

Recent evidence suggests the existence of a non-stationary long-run value premium. This paper examines the links between this long-run value premium and movements in general economic activity, such that there may exist common movement. The evidence supports a single cointegrating vector between...