Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/19638
Authors: 
Döpke, Jörg
Hartmann, Daniel
Pierdzioch, Christian
Year of Publication: 
2006
Series/Report no.: 
Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2006,10
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.
Subjects: 
Ex ante predictability of stock returns
real-time macroeconomic data
performance of investment strategies
Germany
JEL: 
G11
E44
C53
Document Type: 
Working Paper

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