EconPapers    
Economics at your fingertips  
 

Real-time macroeconomic data and ex ante predictability of stock returns

Jörg Döpke, Daniel Hartmann and Christian Pierdzioch

No 2006,10, Discussion Paper Series 1: Economic Studies from Deutsche Bundesbank

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 three results. 1) Real-time macroeconomic data did not contribute much to ex ante stock-return predictability. 2) The performance of an investor who had to rely on noisy real-time macroeconomic data would have been comparable to the performance of an investor who had access to revised macroeconomic data. 3) In real time, it is important for an investor to know which real-time variable to use for predicting stock returns.

Keywords: Ex ante predictability of stock returns; real-time macroeconomic data; performance of investment strategies; Germany (search for similar items in EconPapers)
JEL-codes: C53 E44 G11 (search for similar items in EconPapers)
Date: 2006
New Economics Papers: this item is included in nep-fin, nep-fmk and nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/19638/1/200610dkp.pdf (application/pdf)

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:zbw:bubdp1:4247

Access Statistics for this paper

More papers in Discussion Paper Series 1: Economic Studies from Deutsche Bundesbank Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().

 
Page updated 2025-01-07
Handle: RePEc:zbw:bubdp1:4247