RT Journal Article
SR Electronic
T1 Is Industry Classification Useful to Predict U.S. Stock<br/>Price Co-Movements?
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 71
OP 77
DO 10.3905/jwm.2014.17.1.071
VO 17
IS 1
A1 Daniele Lamponi
YR 2014
UL https://pm-research.com/content/17/1/71.abstract
AB Based on the idea that each industrial sector responds to macro-economic factors, economic policies and news in a different and unique way, portfolio managers, risk managers and asset allocators use industry classifications to drive investment decisions, to control portfolio risk and to perform strategic asset allocation. Here, we check the validity of industry classifications by comparing it to a data-driven categorization of large US stocks. We find that our data-driven categorization, which relies exclusively on stock price time-series, shows a consistent overlap with the industry classification, supporting the choice made by market participants.TOPICS: Security analysis and valuation, information providers/credit ratings, big data/machine learning