This study identifies the indicators of sector-level time-series predictability. Our results show that investors can expect higher predictability in more volatile sectors. In the developed markets, price downtrends, lower trading volume, and higher dividend yields indicate stronger predictability. On the other hand, 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.
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- forecasting accuracy
- industry selection
- return predictability