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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19638| Title: | Real-time macroeconomic data and ex ante predictability of stock returns |
| Keywords: | G11 E44 C53 ddc:330 Ex ante predictability of stock returns real-time macroeconomic data performance of investment strategies Germany Börsenkurs Kapitalertrag Prognoseverfahren Konjunkturstatistik Konjunkturindikator Schätzung Theorie Deutschland |
| Issue Date: | 16-Oct-2013 |
| Description: | We report results on the ex ante predictability of monthly excess stock returns in Germany using real-time and revised macroeconomic data. Our real-time macroeconomic data cover the period 1994-2005. We report three results. 1) Real-time macroeconomic data did not contribute much to ex ante stock-return predictability. 2) The performance of an investor who had to rely on noisy real-time macroeconomic data would have been comparable to the performance of an investor who had access to revised macroeconomic data. 3) In real time, it is important for an investor to know which real-time variable to use for predicting stock returns. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19638 |
| Other Identifiers: | http://hdl.handle.net/10419/19638 ppn:510393683 RePEc:zbw:bubdp1:4247 |
| Appears in Collections: | EconStor |
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