Search Results

No results found.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:Aggregate consumption 

Working Paper
What's Good for GM...? Using Auto Industry Stock Returns to Forecast Business Cycles and Test the Q-Theory of Investment

We examine the ability of auto industry stock returns to forecast quarterly changes in the growth rates of real GDP, consumption, and investment. We find that auto stock returns are superior to aggregate stock market returns in predicting growth rates of GDP and various forms of consumption. The superior predictive power of auto returns holds for both in-sample and out-of-sample forecasts and has not declined over time. We then apply a finding in this paper---that market returns have no explanatory power for future output or consumption growth when auto returns are included in the ...
Finance and Economics Discussion Series , Paper 1996-38

FILTER BY Content Type

FILTER BY Author

FILTER BY Keywords

PREVIOUS / NEXT