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Jeffrey Stangl

Doctor of Philosophy, (Economics and Finance)
Study Completed: 2012
Massey Business School


Thesis Title
An Empirical Examination of Industry Returns for Evidence of Cyclical Performance

Read article at Massey Research Online: MRO icon

Mr Stangl conducted three studies of cyclical industry performance: sentiment cycles, political cycles, and business cycles. The first study documents that investor sentiment has a systematic effect on industry performance. Investor sentiment predicts short-term industry mispricing and, less so, long-term industry reversals. However, an industry rotation strategy based on investor sentiment generates only marginal outperformance. The second study finds that industry returns exhibit unsystematic performance related to political cycles. Results indicate that investors do not systematically price political cycles in expected industry performance, questioning the popular belief that politics drive industry returns. The third study documents no evidence of systematic sector performance across business cycles. Sector rotation generates only marginal excess returns. Performance quickly diminishes after transaction costs and incorrectly timing business cycles. The results question the viability of sector rotation as a popular investment strategy

Associate Professor John Pinfold
Professor Martin Young