Séminaires de recherche

The end-of-the-year effect: Global economic growth and expected returns around the world

Finance

Intervenant : Jesper Rangvid
Copenhagen Business School

7 mai 2015

Télécharger

We show that global economic growth at the end of the year strongly predicts returns on a wide spectrum of international asset markets, such as global, regional, and individual-country stock markets, foreign exchange, bonds, and commodities. Global economic growth at other times of the year does not predict international returns. Global economic growth at the end of the year, and only at the end of the year, predicts returns both in countries where institutional (end of tax year) and cultural events (New Year) are concentrated at the end of the year, but also in countries where they are not. We find that it is global, and not, e.g., US economic growth, that predicts returns. We also find that global economic growth at the end of the year predicts returns because it predicts shocks to discount rates but not shocks to cash flows. Finally, year-end global economic activity does not predict global stock market uncertainty or business cycle indicators.

Finance

Intervenant : Matthieu Bouvard
Desautels Faculty of Management

14 juin 2018 - De 14h00 à 15h15


Finance

Intervenant : Mikhail Simutin
Rotman School of Management

7 juin 2018 - De 14h00 à 15h15


Finance

Intervenant : Liyan Yang
Rotman School of Management

31 mai 2018 - De 14h00 à 15h15


Finance

Intervenant : Anton Lines
Columbia Business School

24 mai 2018 - De 14h00 à 15h15


Finance

Intervenant : Ian Martin
LSE

17 mai 2018 - De 14h00 à 15h15



JavaScriptSettings