Real-time macroeconomic data and ex ante stock return predictability

Jörg Döpke, Daniel Hartmann and Christian Pierdzioch

International Review of Financial Analysis, 2008, vol. 17, issue 2, pages 274-290

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.

Date: 2008

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Persistent link: http://EconPapers.repec.org/RePEc:eee:finana:v:17:y:2008:i:2:p:274-290

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