宏观经济问题:领先的经济指标和全球股票回报的横截面

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2022-11-01 DOI:10.1016/j.finmar.2022.100736

Huaigang Long , Adam Zaremba , Wenyu Zhou , Elie Bouri

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引用次数: 0

摘要

领先的经济指标有助于预测未来的商业状况。它们也能预测股票的总收益吗?为了回答这个问题，我们研究了来自39个国家60年来的数据。在横截面上，综合领先指标(CLI)的短期变化与未来股票收益呈正相关。月平均工资涨幅最高的五分之一市场比月平均工资涨幅最低的五分之一市场的表现要好1.43%。CLI的预测能力经受住了多次稳健性检查，不能被既定的风险因素所吸收。我们的发现暗示了一种可开发的投资策略，可以采用交易所交易基金。

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Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns

Leading economic indicators assist in forecasting future business conditions. Can they also predict aggregate stock returns? To answer this question, we examine six decades of data from 39 countries. Short-term changes in the composite leading indicator (CLI) positively correlate with future stock returns in the cross-section. The quintile of markets with the highest CLI increase outperforms the quintile with the lowest CLI change by 1.43% per month. The predictive power of the CLI survives multiple robustness checks and cannot be absorbed by established risk factors. Our findings imply an exploitable investment strategy that can be pursued with exchange-traded funds.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.