المستودع الأكاديمي جامعة المدينة

Real-time macroeconomic data and ex ante predictability of stock returns

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dc.creator Döpke, Jörg
dc.creator Hartmann, Daniel
dc.creator Pierdzioch, Christian
dc.date 2006
dc.date.accessioned 2013-10-16T07:06:01Z
dc.date.available 2013-10-16T07:06:01Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19638
dc.identifier ppn:510393683
dc.identifier RePEc:zbw:bubdp1:4247
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19638
dc.description 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 three results. 1) Real-time macroeconomic data did not contribute much to ex ante stock-return predictability. 2) The performance of an investor who had to rely on noisy real-time macroeconomic data would have been comparable to the performance of an investor who had access to revised macroeconomic data. 3) In real time, it is important for an investor to know which real-time variable to use for predicting stock returns.
dc.language eng
dc.relation Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2006,10
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject G11
dc.subject E44
dc.subject C53
dc.subject ddc:330
dc.subject Ex ante predictability of stock returns
dc.subject real-time macroeconomic data
dc.subject performance of investment strategies
dc.subject Germany
dc.subject Börsenkurs
dc.subject Kapitalertrag
dc.subject Prognoseverfahren
dc.subject Konjunkturstatistik
dc.subject Konjunkturindikator
dc.subject Schätzung
dc.subject Theorie
dc.subject Deutschland
dc.title Real-time macroeconomic data and ex ante predictability of stock returns
dc.type doc-type:workingPaper


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