萨缪尔森词典的全球版本

IF 8.1 1区 经济学 Q1 ECONOMICS
Yaqing Xiao, Hongjun Yan, Jinfan Zhang
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引用次数: 0

摘要

Samuelson的Dictum指的是这样一种猜测,即总股票市场层面的信息效率比个股层面的信息低。我们的论文在全球环境中重新定义了这一点:全球层面的信息低效率应该比国家层面的低。我们发现主权CDS利差可以预测其相关国家未来的股市指数回报率、GDP和PMI。与萨缪尔森词典的全球版本一致,股票回报和宏观变量的预测能力几乎完全来自主权CDS市场的全球信息,而不是特定国家的信息。(JEL G12、G14、G17)
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A Global Version of Samuelson's Dictum
Samuelson’s Dictum refers to the conjecture that there is more informational inefficiency at the aggregate stock market level than at the individual stock level. Our paper recasts it in a global setup: there should be more informational inefficiency at the global level than at the country level. We find that sovereign CDS spreads can predict future stock market index returns, GDP, and PMI of their underlying countries. Consistent with the global version of Samuelson’s Dictum, the predictive power for both stock returns and macro variables is almost entirely from the global, rather than country-specific, information from the sovereign CDS market. (JEL G12, G14, G17)
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来源期刊
自引率
0.00%
发文量
27
期刊介绍: The journal American Economic Review: Insights (AER: Insights) is a publication that caters to a wide audience interested in economics. It shares the same standards of quality and significance as the American Economic Review (AER) but focuses specifically on papers that offer important insights communicated concisely. AER: Insights releases four issues annually, covering a diverse range of topics in economics.
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