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Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Discussion Paper No. 390
Verlag: 
European University Viadrina, Department of Business Administration and Economics, Frankfurt (Oder)
Zusammenfassung: 
We empirically evaluate the predictive power of money growth measured by M2 for stock returns of the S&P 500 index. We use monthly US data and predict multiperiod returns over 1, 3, and 5 years with long-horizon regressions. In-sample regressions show that money growth is useful for predicting returns. Higher recent money growth has a significantly negative effect on subsequent returns of the S&P 500. An out-of-sample analysis shows that a simple model with money growth as a single predictor performs as goods as the constant expected returns model, while models with several predictor variables perform worse than those simple models.
Schlagwörter: 
Money growth
M2
Stock Market
S&P 500
Stock Returns
Out-of-Sample
JEL: 
C58
E44
E47
G14
G17
Dokumentart: 
Working Paper

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