Which daily equity returns improve output forecasts?

Mohammad R. Jahan-Pavar and William J. Lang

Economics Letters, 2024, vol. 243, issue C

Abstract: We document the improvements in short term forecasts of real output growth for the United States and the euro area from incorporating daily financial data and using mixed data sampling (MIDAS) regressions. Furthermore, we show that a significant share of forecast improvements are driven by information embedded in stock returns of large, capital-intensive firms. In comparison, labor-intensive firms contribute less to improvements in output forecasts within a MIDAS framework.

Keywords: Mixed-frequency data sampling regressions; Forecasting; High-frequency financial data; Capital- and labor-intensive industry equity returns (search for similar items in EconPapers)
JEL-codes: C22 E27 G17 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:243:y:2024:i:c:s0165176524003811

DOI: 10.1016/j.econlet.2024.111897

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