Stock returns forecasting with metals: sentiment vs. fundamentals
研究了六种主要金属商品对G7国家股票指数回报的样本外预测能力，发现贵金属（金和银）能提高预测准确性，且经济收益足以吸引主动投资组合管理。
Using six prominent metal commodities, we provide evidence on the out-of-sample forecasting of stock returns for the market indices of the G7 countries, for which there is little prior evidence in this context. We find precious metals (gold and silver) can improve forecast accuracy relative to the benchmark and performs well compared to forecast combinations. From an economic gains perspective, forecasting returns provides certainty equivalent gains in a market timing strategy for the G7 countries. These certainty equivalent gains are large enough to make active portfolio management attractive, even for individual investors. Gains remain after considering reasonable transaction costs.