Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Does The Stock Market Predict Macro Variables
Download Does The Stock Market Predict Macro Variables full books in PDF, epub, and Kindle. Read online Does The Stock Market Predict Macro Variables ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Does the Stock Market Predict Macro-Variables? by : David G. McMillan
Download or read book Does the Stock Market Predict Macro-Variables? written by David G. McMillan and published by . This book was released on 2018 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Movements in the stock market should reflect expectations regarding future economic conditions and lead the macroeconomy. However, evidence for stock returns providing such predictive power is mixed. We argue this arises as stock returns are noisy and consider the predictive ability of derived expected returns, as well as, the price-earnings ratio, VIX and the stock/bond return correlation. Results reveal that expected stock returns and the stock/bond return correlation exhibit predictive power for output and consumption growth and inflation at monthly and quarterly frequencies. The VIX has predictive power at the monthly frequency for consumption growth and inflation, while the price-earnings ratio predicts the shape of the future term structure. Results reveal that higher current expected returns are consistent with to higher future output and consumption growth, while greater risk results in lower future economic activity. The results are robust to considerations of structural breaks and alternative variables. Further, expected returns provides a noticeably more accurate recession prediction than realised returns. Thus, while stock returns are a weak predictor, expected returns and alternative proxies for stock market risk do reveal predictive power. Such information provides a leading role indicator for the macroeconomy and reveals links between financial markets and the economy.
Book Synopsis Do MacRoeconomic Variables Have an Effect on the Us Stock Market? by : Dennis Sauert
Download or read book Do MacRoeconomic Variables Have an Effect on the Us Stock Market? written by Dennis Sauert and published by GRIN Verlag. This book was released on 2010-10 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2010 in the subject Economics - Case Scenarios, grade: 1.0, Berlin School of Economics, language: English, abstract: The objective of this paper is to examine whether the unanticipated change of specific macroeconomic variables influences the US stock market represented by the S&P 500 using monthly data from 1986 to 2007. Thereby, the performance of the arbitrage pricing theory of Ross (cp. Ross, S., 1976) shall be studied. To explain the behavior of the US stock market return the paper contains the five predefined variables consumer price index (CPI), industrial production index (IPT), money stock M1 (M1), total consumer credit outstanding (TCC) and the term structure of interest rates (Term) which are approximately similar to those variables used by Ross (cp. Chen N. F. et al., 1986, pp. 383-403). Applying the OLS method, it was found that CPI, IPT and Term are negatively related to the US stock return. It was also detected that M1 affects the stock market lagging 8 months and 12 months. However, the test statistics showed that TCC has rather no impact on the US stock market return. To ensure that the ultimate results are not spurious, care will be taken in regards to autocorrelation, multicollinearity, serial correlation as well as heteroskedasticity.
Book Synopsis Macroeconomic Forecasting Using Filtered Signals from a Stock Market Cross Section by : Nicolas Chatelais
Download or read book Macroeconomic Forecasting Using Filtered Signals from a Stock Market Cross Section written by Nicolas Chatelais and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: After the Covid-shock in March 2020, stock prices declined abruptly, reflecting both the deterioration of investors' expectations of economic activity as well as the surge in aggregate risk aversion. In the following months however, whereas economic activity remained sluggish, equity markets sharply bounced back. This disconnect between equity values and macro-variables can be partially explained by other factors, namely the decline in risk-free interest rates, and, for the US, the strong profitability of the IT sector. As a result, an econometrician trying to forecast economic activity with aggregate stock market variables during the Covid-crisis is likely to get poor results. The main idea of the paper is thus to rely on sectorally disaggregated equity variables within a factor model to predict future US economic activity. We find, first, that the factor model better predicts future economic activity compared to aggregate equity variables or to usual benchmarks used in macroeconomic forecasting (both in-sample and out-of-sample). Second, we show that the strong performance of the factor model comes from the fact that the model filters out the "expected returns" component of the sectoral equity variables as well as the foreign component of aggregate future cash flows, and that it also overweights upstream and "value" sectors that are found to be closely linked to the future state of the US business cycle.
Book Synopsis Do Macroeconomic Variables have an Effect on the US Stock Market? by : Dennis Sauert
Download or read book Do Macroeconomic Variables have an Effect on the US Stock Market? written by Dennis Sauert and published by GRIN Verlag. This book was released on 2010-10-12 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2010 in the subject Economics - Case Scenarios, grade: 1.0, Berlin School of Economics, language: English, abstract: The objective of this paper is to examine whether the unanticipated change of specific macroeconomic variables influences the US stock market represented by the S&P 500 using monthly data from 1986 to 2007. Thereby, the performance of the arbitrage pricing theory of Ross (cp. Ross, S., 1976) shall be studied. To explain the behavior of the US stock market return the paper contains the five predefined variables consumer price index (CPI), industrial production index (IPT), money stock M1 (M1), total consumer credit outstanding (TCC) and the term structure of interest rates (Term) which are approximately similar to those variables used by Ross (cp. Chen N. F. et al., 1986, pp. 383-403). Applying the OLS method, it was found that CPI, IPT and Term are negatively related to the US stock return. It was also detected that M1 affects the stock market lagging 8 months and 12 months. However, the test statistics showed that TCC has rather no impact on the US stock market return. To ensure that the ultimate results are not spurious, care will be taken in regards to autocorrelation, multicollinearity, serial correlation as well as heteroskedasticity.
Book Synopsis Financial Information and Macroeconomic Forecasts by : Sophia Chen
Download or read book Financial Information and Macroeconomic Forecasts written by Sophia Chen and published by International Monetary Fund. This book was released on 2016-12-23 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the forecasting power of financial variables for macroeconomic variables for 62 countries between 1980 and 2013. We find that financial variables such as credit growth, stock prices and house prices have considerable predictive power for macroeconomic variables at one to four quarters horizons. A forecasting model with financial variables outperforms the World Economic Outlook (WEO) forecasts in up to 85 percent of our sample countries at the four quarters horizon. We also find that cross-country panel models produce more accurate out-of-sample forecasts than individual country models.
Book Synopsis Predicting the Bear Stock Market by : Shiu-Sheng Chen
Download or read book Predicting the Bear Stock Market written by Shiu-Sheng Chen and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates whether macroeconomic variables can predict recessions in the stock market (Bear Stock Markets). Series such as interest rate spreads, inflation rates, money stocks, aggregate output, and unemployment rates are evaluated individually. After using a Markov-switching model to identify the recession periods in the stock market, we consider both in-sample and out-of-sample tests of predictive ability. Empirical evidence from monthly data on the Standard amp; Poor's Samp;P 500 price index suggests that among the macroeconomic variables that are considered, yield curve spreads and inflation rates are the most useful predictors of recessions in the U.S. stock market according to in-sample and out-of-sample forecasting performance. Moreover, compared with predicting stock returns, it is easier to predict bear stock markets using macroeconomic variables.
Book Synopsis STOCK MARKET PERFORMANCE & MACRO ECONOMIC VARIABLES AN EMPIRICAL STUDY OF STOCK MARKET by : Arnav V
Download or read book STOCK MARKET PERFORMANCE & MACRO ECONOMIC VARIABLES AN EMPIRICAL STUDY OF STOCK MARKET written by Arnav V and published by Arnav. This book was released on 2022-12-23 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Owing to the ever-increasing importance of the financial markets, particularly the stock markets, in the economic development, especially of capital seeking developing nations, a plethora of studies have been conducted to examine the factors determining and influencing the stock market variables such as stock returns, market capitalisation, and turnover, amongst others. The present study examines the impact and role of macroeconomic variables on the stock market performance of an important developing country, viz., India. This relationship is examined from the framework of three main research objectives of investigating the relationship between macroeconomic variables and Indian stock market performance; modelling the crash of Indian stock market during the global financial crisis of 2007 - 2009 using the domestic and international macroeconomic variables, and predicting the movements in stock market variables using macroeconomic variables.
Book Synopsis Forecasting Stock Market Volatility with Macroeconomic Variables in Real Time by : Jörg Döpke
Download or read book Forecasting Stock Market Volatility with Macroeconomic Variables in Real Time written by Jörg Döpke and published by . This book was released on 2006 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Effects of Macroeconomic Variables on Stock Prices: Conventional Versus News Models by : John Vaz
Download or read book The Effects of Macroeconomic Variables on Stock Prices: Conventional Versus News Models written by John Vaz and published by . This book was released on 2011 with total page 642 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock prices are usually analysed and explained in terms of underlying financial indicators, such as earnings per share or dividend payout ratios. Nevertheless, fluctuations in the conditions of the economy can result in changes in demand, which can impact on profits and dividends. Since macroeconomic variables affect financial indicators it follows that macroeconomic variables affect stock prices. If markets are rational and efficient, then stock prices will reflect all known information regarding macroeconomic factors that are perceived to affect stock prices. It follows that stock prices should not change significantly unless there is a surprise or news about the state of the economy (as reflected in unexpected changes in macroeconomic variables). Intuitively, this implies that models of stock price determination based on news ought to be superior to conventional models that use the levels or changes in variables. The utilisation of news in research on stock prices is very limited. Two approaches have been traditionally used to represent the news in the absence of surveys of expectations: either by assuming announcements are news such as those in event studies or by using an econometric time series approach to extract the news components from total changes in the variables, as is the case with the news model. The majority of studies involving news models have been in the foreign exchange market using news estimated econometrically-very little has been done in estimating and testing a macro news model of stock prices and certainly nothing has been done on stock prices in developed economies such as Australia. Thus this research is motivated by the significant gaps in the literature with respect to the development, estimation and testing of a news model of stock prices. Most of the studies that investigate the relations between macro variables and stock prices have been carried out using conventional approaches by estimating models that use the variables in their levels. Some of the multivariable models of stock prices arise as a result of anomalies found in implementing the capital asset pricing model. Other multivariable approaches such as the arbitrage pricing theory (APT), due to Ross (1976), suggest that macro variables are useful, but APT is silent on the appropriate macroeconomic explanatory variables. Furthermore, there have been limited attempts to examine macroeconomic variables collectively, but not with the aim of developing a macro model of stock prices. This thesis presents the results of research that uses comprehensive econometric procedures to investigate which macroeconomic variables have significant effects on Australian stock prices and whether news about such variables can enhance the performance of conventional stock price determination models. Seven macroeconomic variables are examined: interest rates, inflation, the money supply, economic activity, commodity prices, exchange rates and a foreign stock market index to account for spill-over effects. This provides a valuable contribution to the understanding of the individual effects of macroeconomic variables on stock prices and adds to the limited literature regarding the usefulness of news in models of stock price determination. The results from this research demonstrate that although news is a theoretically sound and intuitively plausible basis for improving macro models of stock prices, in practice there is no ex-ante exploitation possible by estimating news utilising econometric methods. Simply put, news cannot be predicted-this is established by using three comprehensive methods of estimating news, which is the residual of a model fitted to the time series data of a particular variable.
Book Synopsis Getting the Most Out of Macroeconomic Information for Predicting Stock Returns by : Cem Cakmakli
Download or read book Getting the Most Out of Macroeconomic Information for Predicting Stock Returns written by Cem Cakmakli and published by . This book was released on 2016 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper documents the fact that the factors extracted from a large set of macroeconomic variables contain information that can be useful for predicting monthly US excess stock returns over the period 1975 - 2014. Factor-augmented predictive regression models improve upon benchmark models that include only valuation ratios and interest rate related variables, and possibly individual macro variables, as well as the historical average excess return. The improvements in out-of-sample forecast accuracy are significant, both statistically and economically. The factor-augmented predictive regressions have superior market timing abilities, such that a mean-variance investor would be willing to pay an annual performance fee of several hundreds of basis points to switch from the predictions offered by the benchmark models to those of the factor-augmented models. One important reason for the superior performance of the factor-augmented predictive regressions is the stability of their forecast accuracy, whereas the benchmark models suffer from a forecast breakdown during the 1990s.
Book Synopsis Which Variables Predict and Forecast Stock Market Returns? by : David G. McMillan
Download or read book Which Variables Predict and Forecast Stock Market Returns? written by David G. McMillan and published by . This book was released on 2016 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Changes in stock returns arise from changes in expected future cash flow growth and expected future discount rates. However, which variables proxy for those changes remains unknown. This paper considers twenty-five variables that are arranged into five groups and examines both in-sample predictability as well as out-of-sample forecasting. Existing research typically considers either one, or a small selection of variables, prominent within this is the dividend price ratio and interest rates. We consider variables that span the categories of financial ratios, macro, labour market and housing variables as well a group referred to as others, which incorporates measures of sentiment and leverage. In-sample results show that significance arises in variables across these five groups. Of note, price ratios, GDP acceleration, inflation, unemployment and consumer sentiment feature prominently, with the purchasing managers index, housing variables and leverage also represented. Thus, predictive variables appear across the different categories. In conducting out-of-sample forecasts, we utilise a range of forecast performance measures and consider single model and combined forecasts. The results show that, with one exception, the combined model forecasts outperform the single model forecasts across all measures. This supports the view that a range of variables from across the economy can help predict future stock returns.
Book Synopsis Macroeconomic Variables and the Stock Market by : Andreas Humpe
Download or read book Macroeconomic Variables and the Stock Market written by Andreas Humpe and published by . This book was released on 2008 with total page 714 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Can Macroeconomic Variables Explain Long Term Movements of Stock Market Sector Indices? by : Erfan Mahmood Bhuiyan
Download or read book Can Macroeconomic Variables Explain Long Term Movements of Stock Market Sector Indices? written by Erfan Mahmood Bhuiyan and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: While the relationship between stock market returns and macro-economic variables has been amply examined, a gap exists in the literature regarding the relationship between different sector indices and various macroeconomic variables. This study intends to examine how certain macroeconomic variables influence different sectors of the stock market differently in the US and Canada. Using monthly data over the period 2000 – 2018, cointegration analysis is applied to model the relationship between real economic activity, money supply, long-term interest rate and different sector indices. Sectors that have been examined in this study include energy, financials, real estate, industrial, healthcare, consumer discretionary, consumer staples, materials, utilities and technology. Results suggest that there is a stable long-term relationship between the macroeconomic variables used in the study and different sector indices for the US but not for Canada. However, US money supply and interest rate can explain the Canadian Stock Market.
Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Book Synopsis Forecasting Stock Market Recessions in the US by : Felix Haase
Download or read book Forecasting Stock Market Recessions in the US written by Felix Haase and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock market recessions are often early warning signals for financial or economic crises. Hence, forecasting bear markets is important for investors, policymakers, and economic agents in general. In our two-step procedure, we first identify stock market regimes in the US using three different techniques (Markov-switching models, dating rules, and a naïve moving average). Second, we predict recessions in the S&P 500 with the help of several modeling approaches, utilizing the information of 92 macro-financial variables. Our results suggest that several variables are suitable for forecasting recessions in stock markets in-sample and out-of-sample. Our early warning models for the US equity market, in particular those using principal components to aggregate the information in the macrofinancial variables, provide a statistical improvement over several benchmarks. In addition, these generate economic value by boosting returns, improving the sharp ratio and the omega, and substantially reducing drawdowns.
Book Synopsis Equity Market Prediction. Evidence from Netherlands by : Nico Horstmann
Download or read book Equity Market Prediction. Evidence from Netherlands written by Nico Horstmann and published by . This book was released on 2021-08-17 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2021 in the subject Business economics - Review of Business Studies, grade: 1,0, Technical University of Munich, language: English, abstract: The focus of this bachelor thesis is the equity market of the Netherlands. The Amsterdam Stock Exchange is one of the oldest or even the oldest stock exchange of the world. Several interesting companies like Adyen (fintech company) and ASML (semiconductor company) are listed at the Netherlands market. However, this thesis is not about predicting individual stock returns, but about predicting the Netherlands stock market in general, and therefore, a broad stock index (the Netherlands-Datastream Market) is investigated, that contains (nearly) every stock of the Netherlands. Equity Market Prediction is an quite interesting topic for investment bankers and the academia. It plays an important role in topics like asset allocation, asset pricing, risk management and capital budgeting. Being able to predict the capital markets would result in a huge gain for investors. Even companies may benefit from equity market prediction, because they could time the market by deciding for example the optimal time of an initial public offering (IPO) or pricing this IPO correctly without leaving money on the table. Therefore, this bachelor thesis examines different predictor variables, that are grouped into market valuation, trend, sentiment, and macroeconomic (macro) variables. Predictor variables are variables that are said to be able to predict the equity market. To test the predictability of these predictors this thesis runs several in-sample and out-of-sample prediction trials with a defined regression framework. In-sample, both univariate as well as multivariate regressions are carried out. Out-of-sample, the predictive power of each predictor is tested stand-alone and compared to a simple benchmark model. In the end a trading strategy resulting from these return predictions may be evaluated.
Book Synopsis Using Macroeconomic Variables in the Prediction of Stock Market Indices by : B. S. Ouattara
Download or read book Using Macroeconomic Variables in the Prediction of Stock Market Indices written by B. S. Ouattara and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
