Based on monthly data covering the period from 1987 to 2021, we analyse whether cross‐sectional moments of stock market returns may provide information about the future position of the German business cycle. We apply in‐sample forecasting regressions with and without leading indicators as...

We evaluate the economic value of business cycle forecasts for potential investors on financial markets as opposed to statistical measures of forecasts accuracy. Taking Germany as an example, and based on annual data ranging from 1990 to 2016 covering 16 institutions and 18 different forecasts,...

Based on monthly data covering the period from 1987 to 2019, we analyse whether cross-sectional moments of stock market returns may provide information about the future position of the German business cycle. We apply in-sample forecasting regressions with and without leading indicators as...