Output and Expected Returns - a multicountry study

Jesper Rangvid
Additional contact information
Jesper Rangvid: Department of Finance, Copenhagen Business School, Postal: Department of Finance, Copenhagen Business School, Solbjerg Plads 3, A5, DK-2000 Frederiksberg, Denmark

No 2002-8, Working Papers from Copenhagen Business School, Department of Finance

Abstract: This paper analyzes whether the price-output ratio (the cpy-ratio) predicts real stock returns

in twelve OECD countries. The cpy-ratio is a ratio of a share price to a macroeconomic

variable. Traditionally, either ratios of purely financial indicators, ratios of purely

macroeconomic indicators, or ratios of macroeconomic indicators to wealth have been

used to predict returns. However, if share prices are mean reverting, and thus contain

a predictable component, and predictability of returns is related to the macroeconomic

environment that ultimately determines the investment opportunities, a ratio of a share

price to a macroeconomic variable could be believed to predict returns. The analyses

reveal that the cpy-ratios do indeed predict future stock returns in most of the countries

that are studied.

Keywords: share prices; output of firms; return predictability (search for similar items in EconPapers)
JEL-codes: F30 G15 (search for similar items in EconPapers)
Pages: 55 pages
Date: 2002-12-01
New Economics Papers: this item is included in nep-cfn and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://openarchive.cbs.dk/cbsweb/handle/10398/7187 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (http://openarchive.cbs.dk/cbsweb/handle/10398/7187 [302 Found]--> https://research.cbs.dk/)

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:hhs:cbsfin:2002_008

Access Statistics for this paper

More papers in Working Papers from Copenhagen Business School, Department of Finance Department of Finance, Copenhagen Business School, Solbjerg Plads 3, A5, DK-2000 Frederiksberg, Denmark. Contact information at EDIRC.
Bibliographic data for series maintained by Lars Nondal ().