EconPapers    
Economics at your fingertips  
 

DATA REVISIONS AND OUT‐OF‐SAMPLE STOCK RETURN PREDICTABILITY

Hui Guo ()

Economic Inquiry, 2009, vol. 47, issue 1, 81-97

Abstract: It has been found that the consumption‐wealth ratio (cay) constructed from revised data is a strong predictor of stock market returns. This paper shows that its out‐of‐sample forecasting power becomes substantially weaker if cay is estimated using information available at the time of forecast. The difference, which mainly reflects periodic revisions in consumption and labor income data, is consistent with the conjecture that cay is a theoretically motivated variable. That is, revised data outperform real‐time data because the former have smaller measurement errors. Nevertheless, practitioners should be cautious when they need to use real‐time cay as a forecasting variable. (JEL G10, G14)

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1111/j.1465-7295.2008.00169.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:ecinqu:v:47:y:2009:i:1:p:81-97

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0095-2583

Access Statistics for this article

Economic Inquiry is currently edited by Preston McAfee

More articles in Economic Inquiry from Western Economic Association International Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2020-08-25
Handle: RePEc:bla:ecinqu:v:47:y:2009:i:1:p:81-97