Industrial electricity : the business cycle and state level risk premiums

Abstract

Industrial electricity usage measured at the state level can predict stock returns of companies with headquarters in the state. Although predictive powers vary from state to state, we show that in general there is a state local relationship between industrial electricity usage and stock returns. We also find that the state level industrial electricity usage has stronger predictive powers on the risk premiums on the state level stock indexes than national industrial electricity usage has on risk premiums on the broad U.S stock index.