Real-time macroeconomic data and ex ante stock return predictability
- 作者：Jö ; rg Dö ; pke ; Daniel Hartmann ; Christian Pierdzioch
- 关键词：Ex ante predictability of stock returns ; Real-time macroeconomic data ; Performance of investment strategies
- 刊名：International Review of Financial Analysis
- 出版年：2008
- 期刊代码：24_10575219
- 类别：eco
- 出版时间：2008
- 卷：17
- 期：2
- 页码：274-290
- 文件大小：190 K
摘要
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 that the contribution of real-time macroeconomic data to ex ante stock return predictability is similar to that of revised macroeconomic data. Moreover, the performance of an investor who had to rely on noisy real-time macroeconomic data would have been similar to the performance of an investor who had access to revised macroeconomic data.