ECRI’s Weekly Leading Index and the Stock Market
Financial market commentators and media sometimes cite the Economic Cycle Research Institute’s (ECRI) Weekly Leading Index (WLI) as an important economic indicator, implying that it is somehow predictive of future stock market performance. Accord...
Enhancing Financial Markets Volatility Prediction [PREMIUM]
Are there economic and financial variables that meaningfully predict return volatilities of financial markets? In their March 2012 paper entitled “A Comprehensive Look at Financial Volatility Prediction by Economic Variables”, Charlotte Ch...
Federal Funds Rate Changes Ubiquitously Useful?
Can investors reliably exploit monetary expansion and contraction as signaled by decreases and increases in the Federal Funds Rate (FFR)? In the December 2011 version of his paper entitled “Don’t Fight the Fed!”, Paulo Maio investigat...
Federal Funds Rate Changes Ubiquitously Useful?
Can investors reliably exploit monetary expansion and contraction as signaled by decreases and increases in the Federal Funds Rate (FFR)? In the December 2011 version of his paper entitled “Don’t Fight the Fed!”, Paulo Maio investigat...
Consumer Credit and Stock Returns
...evidence from simple tests does not support a belief that consumer credit is a useful indicator of future stock market behavior. There is some support for a belief that bull (bear) stock markets predict future credit expansions (contractions) over m...
ISM NMI and Stock Returns
Each month, the Institute for Supply Management (ISM) compiles results of a survey “sent to more than 375 purchasing executives working in the non-manufacturing industries across the country.” Based on this survey, ISM computes the Non-Manu...
ISM PMI and Stock Returns
Some experts cite Institute for Supply Management (ISM) data as an indicator of future stock market performance. Does the ISM data predict stock market returns? According to ISM, their Manufacturing Report On Business, published since 1931, “is ...
Personal Consumption Expenditures and the Stock Market
...evidence from simple tests does not consistently support a belief that changes in Personal Consumption Expenditures (PCE) usefully predict stock market returns at monthly and quarterly horizons. What evidence there is suggests that a strong monthly ...
Gas Prices and Future Stock Market Returns
Some experts argue that high gasoline prices mean that consumers must allocate elevated proportions of spending power to fuel, thereby depressing other industries and ultimately the stock market. Do data support this argument? To check, we relate stock...
New Home Sales and Future Stock Returns
Each month the Census Bureau announces and the financial media report U.S. new home sales (seasonally adjusted and annualized) as a potential indicator of future stock market returns. Release date is near the end of the next month. Does this economic i...
Leading Economic Index and the Stock Market
The Conference Board “publishes leading, coincident, and lagging indexes designed to signal peaks and troughs in the business cycle for ten countries around the world,” including the widely cited Leading Economic Index (LEI) for the U.S. Do...
Commercial and Industrial Credit as a Stock Market Driver
...evidence indicates that the net change in commercial and industrial credit standards as measured by the Federal Reserve Board's quarterly survey of senior loan officers may be a useful predictor of U.S. stock market returns at horizons up to about a...
