IDEAS home Printed from https://ideas.repec.org/a/jns/jbstat/v224y2004i5p557-578.html
   My bibliography  Save this article

Die Verwendbarkeit der ZEW-Aktienindex-Prognosen für aktive Portfoliomanagement-Strategien / The Usefulness of ZEW Stock Market Forecasts for Active Portfolio Management Strategies

Author

Listed:
  • Spiwoks Markus

    (Fachhochschule Wolfsburg, Fachbereich Wirtschaft, Robert-Koch- Platz 10-14, D-38440 Wolfsburg, Germany)

Abstract

More and more investors react sceptically to stock picking recommendations from banks and newspapers. Often they try to carry out active portfolio management strategies which are based on forecasts of whole stock markets or stock indices. Those strategies are known as index picking or index market timing. So it is an amazing fact that periodically published stock index forecasts are a very rare thing. In Germany only the Centre for European Economic Research (ZEW) publishes stock index forecasts of the most important stock markets in Europe, the United States and Japan every month. This treatise brings into focus if ZEW stock index forecasts are useful for realizing active portfolio management strategies. The forecast data material analysis includes the Theil’s inequality coefficient (U2), the topical orientated trend adjustment coefficient (GOVA coefficient) and the forecast quality matrix. The data analysis shows that ZEW stock market forecasts from October 1994 till December 2002 were not able to anticipate the future stock market development. Active portfolio management strategies get no support from ZEW stock market forecasts.

Suggested Citation

  • Spiwoks Markus, 2004. "Die Verwendbarkeit der ZEW-Aktienindex-Prognosen für aktive Portfoliomanagement-Strategien / The Usefulness of ZEW Stock Market Forecasts for Active Portfolio Management Strategies," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(5), pages 557-578, October.
    • Handle: RePEc:jns:jbstat:v:224:y:2004:i:5:p:557-578
    DOI: 10.1515/jbnst-2004-0503
    as

    Download full text from publisher

    File URL: https://doi.org/10.1515/jbnst-2004-0503
    Download Restriction: no
    File URL: https://libkey.io/10.1515/jbnst-2004-0503?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Copeland, Thomas E. & Mayers, David, 1982. "The value line enigma (1965-1978) : A case study of performance evaluation issues," Journal of Financial Economics, Elsevier, vol. 10(3), pages 289-321, November.
    2. Szczesny, Andrea & Dornau, Robert & Anders, Ulrich, 1997. "G-Mind - German market indicator: Analyse des Stimmungsindikators und seiner Subkomponenten," ZEW Dokumentationen 97-04, ZEW - Leibniz Centre for European Economic Research.
    3. Pieper, Ute & Schiereck, Dirk & Weber, Martin, 1992. "Die Kaufempfehlungen des "Effecten-Spiegel": Eine empirische Untersuchung im Lichte der Effizienzthese des Kapitalmarktes," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 296, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    4. Dimson, Elroy & Fraletti, Paulo, 1986. "Brokers' Recommendations: The Value of a Telephone Tip," Economic Journal, Royal Economic Society, vol. 96(381), pages 139-159, March.
    5. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    6. Bjerring, James H & Lakonishok, Josef & Vermaelen, Theo, 1983. "Stock Prices and Financial Analysts' Recommendations," Journal of Finance, American Finance Association, vol. 38(1), pages 187-204, March.
    7. Stickel, Scott E., 1985. "The effect of value line investment survey rank changes on common stock prices," Journal of Financial Economics, Elsevier, vol. 14(1), pages 121-143, March.
    8. Liang, Bing, 1999. "Price Pressure: Evidence from the "Dartboard" Column," The Journal of Business, University of Chicago Press, vol. 72(1), pages 119-134, January.
    9. Kladroba Andreas & Lippe Peter von der & Denné Jessica, 2003. "Die Qualität von Aktienempfehlungen in Publikumszeitschriften," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 223(2), pages 227-238, April.
    10. Anders, Ulrich, 1995. "G-Mind - German Market Indicator: Konstruktion eines Stimmungsbarometers für den deutschen Finanzmarkt," ZEW Dokumentationen 95-04, ZEW - Leibniz Centre for European Economic Research.
    11. Carlson, John A & Parkin, J Michael, 1975. "Inflation Expectations," Economica, London School of Economics and Political Science, vol. 42(166), pages 123-138, May.
    12. Harrison Hong & Jeffrey D. Kubik, 2003. "Analyzing the Analysts: Career Concerns and Biased Earnings Forecasts," Journal of Finance, American Finance Association, vol. 58(1), pages 313-351, February.
    13. Jaffe, Jeffrey F. & Mahoney, James M., 1999. "The performance of investment newsletters," Journal of Financial Economics, Elsevier, vol. 53(2), pages 289-307, August.
    14. Dimson, Elroy & Marsh, Paul R, 1984. "An Analysis of Brokers' and Analysts' Unpublished Forecasts of UK Stock Returns," Journal of Finance, American Finance Association, vol. 39(5), pages 1257-1292, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
    2. Alexander S. Sangare, 2005. "Efficience des marchés : un siècle après Bachelier," Revue d'Économie Financière, Programme National Persée, vol. 81(4), pages 107-132.
    3. Pieper, Ute & Schiereck, Dirk & Weber, Martin, 1992. "Die Kaufempfehlungen des "Effecten-Spiegel": Eine empirische Untersuchung im Lichte der Effizienzthese des Kapitalmarktes," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 296, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    4. Lawrence D. Brown & Gordon D. Richardson & Charles A. Trzcinka, 1990. "Strong†form efficiency on the Toronto Stock Exchange: An examination of analyst price forecasts," Contemporary Accounting Research, John Wiley & Sons, vol. 7(1), pages 323-346, September.
    5. Zhang, Yuzhao & Liu, Haifei, 2021. "Stock market reactions to social media: Evidence from WeChat recommendations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).
    6. Haris Bin Jamil & Aisha Ghazi Aurakzai & Muhammad Subayyal, 2014. "Can Analysts Really Forecast? Evidence from the Karachi Stock Exchange," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 19(1), pages 91-109, Jan-June.
    7. Prombutr, Wikrom & Lockwood, Jimmy & Zhang, Ying & Le, Steven V., 2016. "Investor response to online value line rank changes: Foreign versus local stocks," Global Finance Journal, Elsevier, vol. 30(C), pages 10-26.
    8. Fernando Rubio, 2005. "Estrategias Cuantitativas De Valor Y Retornos Por Accion De Largo," Finance 0503029, University Library of Munich, Germany.
    9. Rojas-de-Gracia, María-Mercedes & Casado-Molina, Ana-María & Alarcón-Urbistondo, Pilar, 2021. "Relationship between reputational aspects of companies and their share price in the online environment," Technology in Society, Elsevier, vol. 64(C).
    10. Graham, John R. & Harvey, Campbell R., 1996. "Market timing ability and volatility implied in investment newsletters' asset allocation recommendations," Journal of Financial Economics, Elsevier, vol. 42(3), pages 397-421, November.
    11. Sant, Rajiv & Zaman, Mir A., 1996. "Market reaction to Business Week 'Inside Wall Street' column: A self-fulfilling prophecy," Journal of Banking & Finance, Elsevier, vol. 20(4), pages 617-643, May.
    12. Robert L. Albert & Timothy R. Smaby, 1996. "Market response to analyst recommendations in the “dartboard” column: the information and price‐pressure effects," Review of Financial Economics, John Wiley & Sons, vol. 5(1), pages 59-74, December.
    13. Sorescu, Sorin & Subrahmanyam, Avanidhar, 2006. "The Cross Section of Analyst Recommendations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 41(1), pages 139-168, March.
    14. Barber, Brad & Lehavy, Reuven & Trueman, Brett & McNichols, Maureen, 2001. "Prophets and Losses: Reassessing the Returns to Analysts' Stock Recommendations," Research Papers 1692, Stanford University, Graduate School of Business.
    15. Lesmond, David A. & Schill, Michael J. & Zhou, Chunsheng, 2004. "The illusory nature of momentum profits," Journal of Financial Economics, Elsevier, vol. 71(2), pages 349-380, February.
    16. Brückbauer, Frank & Schröder, Michael, 2021. "Data resource profile: The ZEW FMS dataset," ZEW Discussion Papers 21-100, ZEW - Leibniz Centre for European Economic Research.
    17. Bandyopadhyay, Sati P. & Brown, Lawrence D. & Richardson, Gordon D., 1995. "Analysts' use of earnings forecasts in predicting stock returns: Forecast horizon effects," International Journal of Forecasting, Elsevier, vol. 11(3), pages 429-445, September.
    18. Ryan, Paul & Taffler, Richard J., 2006. "Do brokerage houses add value? The market impact of UK sell-side analyst recommendation changes," The British Accounting Review, Elsevier, vol. 38(4), pages 371-386.
    19. Lidén, Erik R. & Rosenberg, Markus, 2006. "Ten Years of Misleading Information - Investment Advice in Printed Media," Working Papers in Economics 230, University of Gothenburg, Department of Economics.
    20. Philipp Kellerhals, B. & Schobel, Rainer, 2002. "The dynamic behavior of closed-end funds and its implication for pricing, forecasting, and trading," Journal of Banking & Finance, Elsevier, vol. 26(8), pages 1615-1643, August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jns:jbstat:v:224:y:2004:i:5:p:557-578. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.