Time-Series Predictability for Sector Investing
研究发现行业层面的时间序列可预测性指标，波动性大的行业可预测性更高，基于这些指标选择行业能带来经济收益。
This study identifies the indicators of sector-level time-series predictability. The results show that investors can expect higher predictability in the more volatile sectors. In the developed markets, price downtrends, lower trading volume, and higher dividend yields indicate stronger predictability. The cyclical and sensitive super-sectors become more predictable as liquidity goes down. Particularly in the cyclical super-sectors, smaller market capitalization and larger term spread also indicate predictability. Sector selection based on the indicators can generate economic benefits.