Stock Returns and Output Growth in Emerging and Advanced Economies
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Summary:
This paper studies the correlation between output growth and lagged stock returns in a panel of emerging market economies and advanced economies. It finds that the correlation is as strong in emerging market economies as in advanced economies. Asset prices therefore contain valuable information to forecast output also in emerging market economies. Moreover, the paper finds that the strength of the correlation between output growth and lagged stock returns is significantly related to a number of stock market characteristics, such as the number of listed domestic companies and initial public offerings and, especially, a high market capitalization to GDP ratio and English legal origin.
Series:
Working Paper No. 2000/089
Subject:
Emerging and frontier financial markets Financial institutions Financial markets Market capitalization Production Production growth Stock markets Stocks
English
Publication Date:
May 1, 2000
ISBN/ISSN:
9781451851274/1018-5941
Stock No:
WPIEA0892000
Pages:
34
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