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Real-time macroeconomic data and ex ante stock return predictability

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

Abstract

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.

Suggested Citation

  • Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2008. "Real-time macroeconomic data and ex ante stock return predictability," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 274-290.
  • Handle: RePEc:eee:finana:v:17:y:2008:i:2:p:274-290
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    Cited by:

    1. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2014. "The international business cycle and gold-price fluctuations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 292-305.
    2. Mu-Fen Chao & Shing-Yau Chen, 2012. "A Study of Factors Influencing Foreign Share Holdings in the Taiwan Semiconductor Industry," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(0), pages 153-170, January.
    3. Mu-Fen Chao & Shing-Yau Chen, 2012. "A Study of Factors Influencing Foreign Share Holdings in the Taiwan Semiconductor Industry," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(0), pages 153-170, January.
    4. Christian Pierdzioch, 2012. "Macroeconomic Factors and the German Real Estate Market: A Stock-Market-Based Forecasting Experiment," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 87-96, May.

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