Wednesday 5 December 2012, 1.15PM to 2.45pm
Speaker(s): Alessandro Beber, City University of London
Abstract: We use a novel technique to extract latent factors from macroeconomic data available at different frequencies. We apply this methodology to macroeconomic announcements to extract real-time measures of economic activity and sentiment. We find that our macroeconomic factors predict future stock returns at different horizons and in different countries. A simple portfolio exercise demonstrates the economic strength of the link between macroeconomic conditions and equity risk premia. We relate our results to measures of macroeconomic uncertainty and to the predictive ability for the future state of the economy.
Location: ARRC Auditorium
Admission: Economics Department Seminar. All welcome to attend