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

Stig Vinther Møller, Jesper Rangvid

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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.
Original languageEnglish
JournalManagement Science
Issue number2
Pages (from-to)573-591
Number of pages19
Publication statusPublished - Feb 2018

Bibliographical note

Published online: November 21, 2016


  • 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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