This paper provides strong evidence of time-varying return predictability of three precious metals from January 1987 to September 2014. We use three variations of the variance ratio test, the nonlinear BDS test as well as the Hurst exponent to evaluate the time-varying return predictability of...

This paper aims to create a composite national oil sentiment index and examine the sentiment effects on oil futures. The intent is to extrapolate this index for the US market and assess its viability and applicability to other countries in future research. Oil sentiment is measured through...

We test the predictability of international (sub-) sector industry returns using common fundamental ratios. For the majority of sector returns we find pervasive predictive relationships using the global price to cash-flow ratio. Furthermore, we stress the cross-dependencies between sectors and...