Similar Search Results

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

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

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

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

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

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

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

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

The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity

Kim, Jeong-Ryeol - 2003

Persistent link: https://www.econbiz.de/10001746405

Does Money Supply Growth Contain Predictive Power for Stock Returns? Evidence and Explanation

McMillan, David G. - 2015

We examine the nature of predictive power of money supply growth for stock returns. An understanding of which would be useful for market practitioners and policy makers given the current lack of consensus. In addition, knowledge of this relationship can aid our understanding of the risk and cash...

Persistent link: https://www.econbiz.de/10013032530

1
2
3
4
5
6
7
8
9
10
Next
Last