Global economic growth and expected returns around the world: The end-of-the-year effect

TY - JOUR

T1 - Global economic growth and expected returns around the world: The end-of-the-year effect

AU - Møller, Stig Vinther

AU - Rangvid, Jesper

N1 - AM ingen embargo

PY - 2018/2

Y1 - 2018/2

N2 - 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.

AB - 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.

KW - End-of-the-year global economic growth

KW - Expected returns

KW - In-sample and out-of-sample international return forecasts

KW - International business cycle

UR - https://www.scopus.com/pages/publications/85042877134

U2 - 10.1287/mnsc.2016.2589

DO - 10.1287/mnsc.2016.2589

M3 - Journal article

SN - 0025-1909

VL - 64

SP - 573

EP - 591

JO - Management Science

JF - Management Science

IS - 2

ER -