1. Idiosyncrasy as a Leading Indicator.
- Author
-
Morck, Randall, Yeung, Bernard, and Zhang, Lu Y.
- Subjects
ECONOMIC shock ,MACROECONOMICS ,BUSINESS enterprises ,RATE of return on stocks ,GROSS domestic product ,CONSUMPTION (Economics) - Abstract
Disequilibrating macro shocks affect different firms' prospects differently, increasing idiosyncratic variation in forward-looking stock returns before affecting economic growth. Consistent with most such shocks from 1947 to 2020 enhancing productivity, increased idiosyncratic stock return variation forecasts next-quarter real GDP growth, industrial production growth, and consumption growth both in-sample and out-of-sample. These effects persist after controlling for other leading economic indicators. [ABSTRACT FROM AUTHOR]
- Published
- 2023
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