Daniel Hartmann - Stock Markets and Real-Time Macroeconomic Data

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It has been common practice in empirical studies to use revised macroeconomic data that are available to a researcher ex post for the analysis of historical time series. This practice, however, does not take into account that macroeconomic data are revised over time and that theses revisions can be substantial. Results of empirical analyses may change when data available at different periods are used. This raises the question of whether data availability has to be taken into account in analyses discussing macroeconomic and financial problems in real time. In the last few years, new data sources of macroeconomic data in real time have become available for a few countries. Hence, research has started to examine whether using real-time rather than revised macroeconomic data has any effects on the results of empirical analyses. Research has analyzed these effects for forecasting models, forecasting analyses, and monetary policy decisions. Interestingly, only a few studies analyzed the implications on the results of financial analyses when data availability in real time is considered. Since it has been paid little attention to this question, Daniel Hartmann analyzes these implications on the results for empirical finance. Thus, his study is one contribution to bridge this gap in literature. The author conducts a three-country comparison by using real-time macroeconomic data sets for the United States, the United Kingdom, and Germany. His analysis tries to answer whether results of the out-of-sample predictability of stock returns and stock market volatility significantly change when real-time macroeconomic data are used instead of revised macroeconomic data. Moreover, the author looks into the implications on the results of empirical tests of a production-based general equilibrium asset pricing model when using real-time rather than revised macroeconomic data. [...]

Schlagworte

Stock Markets, Real-time macroeconomic data, Predictability of stock returns, Predictability of stock market volatility, Production-based asset-pricing model, Performance of investment strategies, Evaluation of forecasting accuracy, Volkswirtschaftslehre

  • Autor*in
    Daniel Hartmann
  • Seiten
    300
  • Jahr
    Hamburg 2007
  • ISBN
    978-3-8300-3239-7
  • Schriftenreihe
    Schriftenreihe volkswirtschaftliche Forschungsergebnisse
  • ISSN
    1435-6872
  • Band
    124
  • Fachbereich
    Wirtschaft

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