What Can We Learn From Energy Consumption on Excess Stock Return Prediction?
研究基于经济约束构建新的能源消耗指标，用于预测股票市场超额收益，发现这些指标在金融动荡时期（如金融危机和新冠疫情）表现稳健，尤其商业部门的非可再生能源消耗预测力强。
ABSTRACT Stock market return prediction has long been a focal point within the realm of financial research. This study introduces a novel series of energy consumption indicators, predicated on economic constraints, to forecast stock market excess returns. Empirical results indicate that these newly constructed indicators are instrumental in predicting excess returns. Moreover, the combination models consistently outperform other competing models, especially under the constraint method based on the Sharpe ratio. We also highlight that energy consumption indicators maintain robust performance during periods of financial turbulence, such as the financial crisis and the COVID‐19 pandemic, with a notable emphasis on non‐renewable energy consumption from the commercial sector. Our findings offer valuable insights into forecasting stock market returns from an energy consumption perspective.