Article ID Journal Published Year Pages File Type
5069400 Finance Research Letters 2014 18 Pages PDF
Abstract
This paper finds that the European leading economic indicator, a prime business cycle indicator for the European economies published by the OECD, can strongly predict European stock returns and generate utility gains. Importantly, the predictive power of the European indicator is above and beyond that contained in the country-specific leading indicator. Furthermore, we find that the predictive power of the European indicator is stable.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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