Global Economic Growth and Expected Returns Around the World: The End-of-the-Year Effect

52 Pages Posted: 25 Feb 2015 Last revised: 3 Sep 2015

See all articles by Stig Vinther Møller

Stig Vinther Møller

Aarhus University - CREATES

Jesper Rangvid

Copenhagen Business School

Date Written: August 20, 2015

Abstract

Global economic growth at the end of the year strongly predicts returns from a wide spectrum of international assets, such as global, regional, and individual-country stocks, FX, and commodities. Global economic growth at other times of the year does not predict international returns. Low growth in the global economy at the end of the year predicts higher returns over the following year. It also predicts the global business cycle. When global economic growth at the end of the year is low, investors expect a worsening of the global business cycle and increase their required returns.

Keywords: End-of-the-year global economic growth, expected returns, international business cycle, in-sample and out-of-sample international return forecasts

JEL Classification: E44, G12, G14

Suggested Citation

Møller, Stig Vinther and Rangvid, Jesper, Global Economic Growth and Expected Returns Around the World: The End-of-the-Year Effect (August 20, 2015). Available at SSRN: https://ssrn.com/abstract=2569081 or http://dx.doi.org/10.2139/ssrn.2569081

Stig Vinther Møller (Contact Author)

Aarhus University - CREATES ( email )

Nordre Ringgade 1
Aarhus, DK-8000
Denmark

Jesper Rangvid

Copenhagen Business School ( email )

Solbjerg Plads 3
Frederiksberg C, DK - 2000
DENMARK

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