Beware: Oil Return Predictability Illusion Exposed by Data Choice!
Crude oil return predictability is not as reliable as previously thought. Using within-month averages of daily oil prices can lead to misleading results, making it seem like oil returns can be predicted. However, when end-of-month data is used instead, there is not strong evidence for predictability. This shows that the choice of data can greatly impact the accuracy of predicting oil returns.