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Idiosyncrasy as a Leading Indicator / Randall Morck, Bernard Yeung, Lu Y. Zhang.
- Format:
- Book
- Author/Creator:
- Morck, Randall.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w30071.
- NBER working paper series no. w30071
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2022.
- Summary:
- 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.
- Notes:
- Print version record
- May 2022.
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