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Financial variables and macroeconomic forecast errors
Barnes, Michelle L.; Olivei, Giovanni P. - 2017 - This version: October 31, 2017
A large set of financial variables has only limited power to predict a latent factor common to the year-ahead forecast errors for real Gross Domestic Product (GDP) growth, the unemployment rate, and Consumer Price Index (CPI) inflation for three sets of professional forecasters: the Federal...
Persistent link: https://www.econbiz.de/10011817884
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Size-Portfolio Idiosyncratic Volatility with Aggregate Return, Cross-Sectional Return, and GDP Growth : U.S. and International Evidence
Kuo, Chris - 2011
documents that, when the idiosyncratic volatility is specified by firm size, the size-portfolio idiosyncratic volatility is …, this paper examines the predictive ability of the size-portfolio idiosyncratic volatility for GDP growth. It concludes that … size-portfolio idiosyncratic volatility contain significant information for forecasting future GDP growth for both the U …
Persistent link: https://www.econbiz.de/10013117807
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Dynamic Growth Equity Returns
Blazenko, George - 2011
Within book/market quintiles, expected return from constant growth equity valuation (static growth expected return, SGER) relates positively with realized returns. However, SGER overstates realized returns for growth stocks and understates realized returns for value stocks. We investigate...
Persistent link: https://www.econbiz.de/10013128926
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Cash Flow Growth and Stock Return
Jansen, Benjamin - 2020
I extend financial literature by presenting a model that expresses a firm's expected stock return as a function of the expected free cash flow growth, as opposed to dividends or profits. I find empirical evidence which supports the hypothesis that realized cash flow growth and expected cash flow...
Persistent link: https://www.econbiz.de/10012855137
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Government Debt, Dividend Growth, and Stock Returns
Sun, Yulong - 2020
This paper documents that the increase in public debt can lead to higher dividend payout to shareholders, which suggests public debt can be a strong cash flow predictor which helps better predict future stock returns. Specifically, the higher public debt-to-GDP ratio can predict both higher...
Persistent link: https://www.econbiz.de/10014103307
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Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns : Evidence and Theory. Online Appendix
Colacito, Ric - 2015
This paper provides robustness checks and analytical derivations to supplement the material presented in the paper Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory.The paper to which these Appendices apply is available at the following URL:...
Persistent link: https://www.econbiz.de/10013025168
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Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns : Evidence and Theory
Colacito, Ric - 2015
We document that the first and third cross-sectional moments of the distribution of GDP growth rates made by professional forecasters can predict equity excess returns, a finding which is robust to controlling for a large set of well established predictive factors. We show that introducing...
Persistent link: https://www.econbiz.de/10013036192
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The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity
Kim, Jeong-Ryeol - 2003
In this paper, we use a modified concept of Granger-(non)causality in reconsidering the negative correlation between stock returns and inflation known in the literature as stock return-inflation puzzle. Based on the quarterly data for Germany including stock returns, inflation rates and growth...
Persistent link: https://www.econbiz.de/10001746405
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The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity
Kurz-Kim, Jeong-Ryeol - 2003
In this paper, we use a modified concept of Granger-(non)causality in reconsidering the negative correlation between stock returns and inflation known in the literature as stock return-inflation puzzle. Based on the quarterly data for Germany including stock returns, inflation rates and growth...
Persistent link: https://www.econbiz.de/10011431989
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Analyst Long-Term Growth Forecasts, Accounting Fundamentals and Stock Returns
Fisher, Gregg S. - 2017
We decompose consensus analyst long-term growth forecasts into a hard growth component that captures accounting information (asset and sales growth, profitability and equity dilution) and an orthogonal soft growth component. The soft component does not forecast future returns, and the hard...
Persistent link: https://www.econbiz.de/10012969603