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Macroeconomic Factors and the German Real Estate Market: A Stock-Market-Based Forecasting Experiment

  • Christian Pierdzioch

    ()

    (Department of Economics, Helmut Schmidt University, Germany)

Based 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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File URL: http://www.bapress.ca/Journal-7/Macroeconomic%20Factors%20and%20the%20German%20Real%20Estate%20Market%20--%20A%20Stock-Market-Based%20Forecasting%20Experiment.pdf
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Article provided by Better Advances Press, Canada in its journal Review of Economics & Finance.

Volume (Year): 2 (2012)
Issue (Month): (May)
Pages: 87-96

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Handle: RePEc:bap:journl:120208
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