Showing 1 – 4 of 4 results.
Self-published
Spanish Stock Returns, Growth and Inflation, 1900-2020 (ICPSR 220461)
Released/updated on: 2025-09-17
Geographic coverage: Other: Europe, Spain
Time period: 1900-01-01--2020-12-31
This project studies equity returns in the Madrid Stock Exchange and their connections with the macroeconomy from the emergence of a stock market around 1900 to its “big bang” at the turn of the 21st century. Using high-quality data from primary sources and the methodology of the modern IBEX35 (published since 1987), we constructed an original index, the H-IBEX, for the period 1900-1987. With 120 years of monthly data, we empirically test the ability of stock prices to predict real economic activity, provide a detailed chronology of market cycles and analyze their time-varying characteristics across stages of market development and macroeconomic regimes. We also assess the role of Spanish equities as an inflation hedge and compare their long-run investment performance in an international perspective. Our data confirm that the Civil War (1936-39) had only a moderately negative impact on equity wealth compared to other economic disasters of the 20th century. In the long run Spanish equities underperformed most European markets due to a massive destruction of financial wealth in the stagflation of the 1970s-80 and the transition to an open economy after decades of protectionism. This was the true “rare disaster” suffered by Spanish investors in the 20th century.
Curated
ABC News "Nightline" Stock Market Poll, November 1987 (ICPSR 8886)
Released/updated on: 2006-11-30
Geographic coverage: United States
Time period: 1987-11-01--1987-11-30
This survey focused on the stock market. Respondents were asked if they thought the economy was getting better or worse, whether they thought they would be better off financially one year from now, if they planned to spend more or less money than last year at Christmas, and whether stock market prices affected them personally. Additional questions pertained to the recent sharp drop in stock prices and its impact on the respondent, and the respondent's understanding of a number of terms used to describe the economy and the stock market (e.g., the Down Jones Industrial Average, federal budget and trade deficits, liquidity, "buying on margin," and bear and bull markets). The results of the poll were announced on the ABC television program "Nightline." Demographic characteristics of respondents are included.
Curated
Stock Market Returns, Volatility, and Future Output (ICPSR 1269)
Released/updated on: 2003-04-18
Geographic coverage: United States
In this article, the author shows that, if stock volatility follows an AR(1) process, stock market returns relate positively to past volatility but relate negatively to contemporaneous volatility in Merton's (1973) Intertemporal Capital Asset Pricing Model. The model helps explain the recent finding that stock market volatility drives out returns in forecasting real gross domestic product growth because the predictive power of returns is hampered by their positive correlation with past volatility. If the positive relation between returns and past volatility is controlled for, however, the author finds that volatility provides no additional information beyond returns in forecasting output in the post-World War II sample.
Curated
Why Are Stock Market Returns Correlated with Future Economic Activity? (ICPSR 1261)
Released/updated on: 2002-08-13
Stock price, because it is a forward-looking variable, forecasts economic activities. An unexpected increase in stock price reflects that (1) future dividend growth is higher and/or (2) future discount rates are lower than previously anticipated. Therefore, the increase predicts higher output and investment. As well, other studies argue for an important relation between the expected stock market return and investment. In this paper, the author analyses the relative importance of these mechanisms by using Campbell and Shiller's (1988) method to decompose stock market return into three parts: expected return, a shock to the expected future return, and a shock to the expected future dividend growth. Contrary to the conventional wisdom, the author finds that dividend shocks are a rather weak predictor for future economic activities. Moreover, the expected return and shocks to the expected future return display different predictive patterns. The results shown here, collectively, explain why the forecasting power of stock market return is rather limited.