Macroeconomic Factors and the German Real Estate Market: A Stock-Market-Based Forecasting Experiment
AbstractBased on a recursive forecasting approach, this research studies whether macro- economic factors help to forecast excess returns on a real-estate-based German stock market index. Key findings are that macroeconomic factors are often included in the optimal forecasting model, that their relative importance often differs from their importance for forecasting a broad stock-market index, and that their informational content for forecasting excess returns seems to undergo temporal shifts. This research also finds evidence of market timing.
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Bibliographic InfoArticle provided by Better Advances Press, Canada in its journal Review of Economics & Finance.
Volume (Year): 2 (2012)
Issue (Month): (May)
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Find related papers by JEL classification:
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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