Stock Returns and Output Growth in Emerging and Advanced Economies
AbstractThis paper studies the correlation between output growth and lagged stock returns in a panel of emerging market economies and advanced economies. It finds that the correlation is as strong in emerging market economies as in advanced economies. Asset prices therefore contain valuable information to forecast output also in emerging market economies. Moreover, the paper finds that the strength of the correlation between output growth and lagged stock returns is significantly related to a number of stock market characteristics, such as the number of listed domestic companies and initial public offerings and, especially, a high market capitalization to GDP ratio and English legal origin.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 00/89.
Date of creation: 01 Apr 2000
Date of revision:
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Postal: International Monetary Fund, Washington, DC USA
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Other versions of this item:
- Mauro, Paolo, 2003. "Stock returns and output growth in emerging and advanced economies," Journal of Development Economics, Elsevier, vol. 71(1), pages 129-153, June.
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