Data for: Has oil price predicted stock returns for over a century?

Abstract of associated article: This paper contributes to the debate on the role of oil prices in predicting stock returns. The novelty of the paper is that it considers monthly time-series historical data that span over 150years (1859:10–2013:12) and applies a predictive regression model that accommodates three salient features of the data, namely, a persistent and endogenous oil price, and model heteroscedasticity. Three key findings are unraveled: first, oil price predicts US stock returns. Second, in-sample evidence is corroborated by out-sample evidence of predictability. Third, both positive and negative oil price changes are important predictors of US stock returns, with negative changes relatively more important. Our results are robust to the use of different estimators and choice of in-sample periods.

关联论文摘要：本文参与关于油价在预测股票收益率中作用的学术讨论。本文的创新之处在于采用了跨度超150年的月度时间序列历史数据（1859年10月—2013年12月），并运用了适配数据三大显著特征的预测回归模型，即油价的持续性与内生性，以及模型异方差性。本文揭示了三项核心结论：其一，油价可预测美国股票收益率；其二，样本内预测证据得到了样本外预测性证据的佐证；其三，油价的正向与负向变动均为美国股票收益率的重要预测因子，且负向变动的预测效力相对更强。研究结果在不同估计方法与样本内周期选择下均保持稳健。