Global Economic Growth and Expected Returns around the World: The End-of-the-year Effect

Stig Vinther Møller, Jesper Rangvid

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Abstrakt

Global economic growth at the end of the year strongly predicts returns from a wide spectrum of international assets, such as global, regional, and individual-country stocks, FX, and commodities. Global economic growth at other times of the year does not predict international returns. Low growth in the global economy at the end of the year predicts higher returns over the following year. It also predicts the global business cycle. When global economic growth at the end of the year is low, investors expect a worsening of the global business cycle and increase their required returns.
OriginalsprogEngelsk
TidsskriftManagement Science
Vol/bind64
Udgave nummer2
Sider (fra-til)573-591
Antal sider19
ISSN0025-1909
DOI
StatusUdgivet - feb. 2018

Bibliografisk note

Published online: November 21, 2016

Emneord

  • End-of-the-year global economic growth
  • Expected returns
  • International business cycle
  • In-sample and out-of-sample international return forecasts

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