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Real-time macroeconomic data and ex ante stock return predictability

  • Döpke, Jörg
  • Hartmann, Daniel
  • Pierdzioch, Christian

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.

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File URL: http://www.sciencedirect.com/science/article/B6W4W-4MR1KD0-1/1/8152a665af88b4f5661f32b6226fd01e
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Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 17 (2008)
Issue (Month): 2 ()
Pages: 274-290

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Handle: RePEc:eee:finana:v:17:y:2008:i:2:p:274-290
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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