Year: 2017
Author: Böing, Tobias, Stadtmann, Georg
Credit and Capital Markets – Kredit und Kapital, Vol. 50 (2017), Iss. 4 : pp. 489–508
Abstract
We empirically evaluate the predictive power of money growth measured by M2 for stock returns of the S&P 500 index. We use monthly US data and predict multiperiod returns over 1, 3, and 5 years with long-horizon regressions. In-sample regressions show that money growth is useful for predicting returns. Higher recent money growth has a significantly negative effect on subsequent returns of the S&P 500. An out-of-sample analysis shows that a simple model with money growth as a single predictor performs as goods as the constant expected returns model, while models with several predictor variables perform worse than those simple models.
Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.3790/ccm.50.4.489
Credit and Capital Markets – Kredit und Kapital, Vol. 50 (2017), Iss. 4 : pp. 489–508
Published online: 2017-12
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 20
Keywords: G14 G17 C58 E44 E47 Money growth M2 Stock Market S&P 500 Stock Returns Out-of-Sample
Author Details
| Section Title | Page | Action | Price |
|---|---|---|---|
| Tobias Böing / Georg Stadtmann: Money Growth and Aggregate Stock Returns | 1 |