Real-time macroeconomic data and ex ante stock return predictability

We report results on the ex ante predictability of monthly excess stock returns in Germany using real-time and revised macroeconomic data. Our real-time macroeconomic data cover the period 1994-2005. We report that the contribution of real-time macroeconomic data to ex ante stock return predictability is similar to that of revised macroeconomic data. Moreover, the performance of an investor who had to rely on noisy real-time macroeconomic data would have been similar to the performance of an investor who had access to revised macroeconomic data.