Money growth and aggregate stock returns
Böing, Tobias; Stadtmann, Georg;
- Publisher: Frankfurt (Oder): European University Viadrina, Department of Business Administration and Economics
- Subject: E44 | M2 | C58 | E47 | Money growth | Stock Market | G14 | G17 | S&P 500 | Out-of-Sample | Stock Returns
- ddc: ddc:330
mesheuropmc: health care economics and organizations
We empirically evaluate the predictive power of money growth measured by M2 for stock returns of the S&P 500 index. We use monthly US data and predict multiperiod returns over 1, 3, and 5 years with long-horizon regressions. In-sample regressions show that money growth ... View more