This paper shows that lagged information transmission between industry portfolio and market prices entails cointegration. We analyze monthly industry portfolios in the US market for the period 1963–2015. We find cointegration between six industry portfolio and market prices. We show that the equilibrium error, the long-term common factor between industry portfolio and market cumulative returns, has strong predictive power for excess industry portfolio returns. In line with gradual information diffusion across connected industries, the equilibrium error proxies for changes in the investment opportunity set that lead to industry return predictability by informed investors. Forecasting models including the equilibrium error have superior forecasting performance relative to models without it, illustrating the importance of cointegration between the industry portfolio and market prices. Overall, our findings have important implications for investment and risk-management decisions, since the out-of-sample explanatory power of the equilibrium error is economically meaningful for making optimal portfolio allocations.

中文翻译：

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行业组合与股票市场的协整、信息传递及超前滞后效应

本文表明，行业组合与市场价格之间的滞后信息传递需要协整。我们分析了 1963 年至 2015 年期间美国市场的月度行业投资组合。我们发现六个行业组合与市场价格之间存在协整关系。我们表明，均衡误差是行业投资组合与市场累积收益之间的长期公因子，对超额行业投资组合收益具有很强的预测能力。与跨相关行业的信息逐渐扩散一致，均衡误差代表了投资机会集的变化，导致知情投资者对行业回报的可预测性。相对于没有均衡误差的模型，包含均衡误差的预测模型具有更好的预测性能，说明行业组合和市场价格之间协整的重要性。总体而言，我们的发现对投资和风险管理决策具有重要意义，因为均衡误差的样本外解释力对于优化投资组合配置具有经济意义。