Die Verwendbarkeit der ZEW-Aktienindex-Prognosen für aktive Portfoliomanagement-Strategien / The Usefulness of ZEW Stock Market Forecasts for Active Portfolio Management Strategies

Spiwoks Markus ()
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Spiwoks Markus: Fachhochschule Wolfsburg, Fachbereich Wirtschaft, Robert-Koch- Platz 10-14, D-38440 Wolfsburg, Germany

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2004, vol. 224, issue 5, 557-578

Abstract: More and more investors react sceptically to stock picking recommendations from banks and newspapers. Often they try to carry out active portfolio management strategies which are based on forecasts of whole stock markets or stock indices. Those strategies are known as index picking or index market timing. So it is an amazing fact that periodically published stock index forecasts are a very rare thing. In Germany only the Centre for European Economic Research (ZEW) publishes stock index forecasts of the most important stock markets in Europe, the United States and Japan every month. This treatise brings into focus if ZEW stock index forecasts are useful for realizing active portfolio management strategies. The forecast data material analysis includes the Theil’s inequality coefficient (U2), the topical orientated trend adjustment coefficient (GOVA coefficient) and the forecast quality matrix. The data analysis shows that ZEW stock market forecasts from October 1994 till December 2002 were not able to anticipate the future stock market development. Active portfolio management strategies get no support from ZEW stock market forecasts.

Keywords: Stock market forecast; forecast accuracy; active portfolio management; the Centre for European Economic Research (ZEW); Aktienindex-Prognose; Prognosegüte; Aktives Portfoliomanagement; Zentrum für Europäische Wirtschaftsforschung (ZEW); Stock market forecast; forecast accuracy; active portfolio management; the Centre for European Economic Research (ZEW) (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:224:y:2004:i:5:p:557-578

DOI: 10.1515/jbnst-2004-0503

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