Real-time macroeconomic data and ex ante stock return predictability |
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Authors: | Jörg Döpke Christian Pierdzioch |
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Institution: | a Hochschule Merseburg, University of Applied Sciences, Department of Economics, Geusaer Straβe, 06217 Merseburg, Germany b Saarland University, Department of Economics, P.O.B. 15 11 50, 66041 Saarbruecken, Germany |
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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 that the contribution of real-time macroeconomic data to ex ante stock return predictability is similar to that of revised macroeconomic data. Moreover, the performance of an investor who had to rely on noisy real-time macroeconomic data would have been similar to the performance of an investor who had access to revised macroeconomic data. |
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Keywords: | C53 E44 G11 |
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