IDEAS home Printed from https://ideas.repec.org/a/eur/ejesjr/181.html
   My bibliography  Save this article

Do Macro-Economic and Technical Indicators Matter?- a Principal Component Analysis Approach for Equity Risk Premium Prediction

Author

Listed:
  • Naveed Ul Hassan
  • Bilal Aziz
  • Maryam Mushtaq

Abstract

Equity risk premium contains the property of reflecting the fundamental judgments of individuals regarding risk that might exists in the economic market and the price associated with that risk. For ERP forecasting, attention is also devoted to technical indicators apart from the macro-economic variables. A set of 14 technical and 14 macro-economic variables is selected for this purpose and based on a standard predictive regression framework; all forecasts are generated by regressing ERP on a constant and a lag of macro-economic or technical indicator. It is found that as compared to macro-economic variables technical indicators provide better indications about ERP estimates. By using National Bureau of Economic Research (NBER) data of business cycle expansion and recessions, relative strength of ERP predictability is also investigated and it is found more than twice for recessions as compare to expansions.

Suggested Citation

  • Naveed Ul Hassan & Bilal Aziz & Maryam Mushtaq, 2017. "Do Macro-Economic and Technical Indicators Matter?- a Principal Component Analysis Approach for Equity Risk Premium Prediction," European Journal of Economics and Business Studies Articles, Revistia Research and Publishing, vol. 3, September.
    • Handle: RePEc:eur:ejesjr:181
    DOI: 10.26417/ejes.v9i1.p46-62
    as

    Download full text from publisher

    File URL: https://revistia.com/index.php/ejes/article/view/5379
    Download Restriction: no
    File URL: https://revistia.com/files/articles/ejes_v3_i3_17/Naveed.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.26417/ejes.v9i1.p46-62?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Anant Saxena & Uday Khanna, 2013. "Advertising on Social Network Sites: A Structural Equation Modelling Approach," Vision, , vol. 17(1), pages 17-25, March.
    2. Liye Ma & Baohong Sun & Sunder Kekre, 2015. "The Squeaky Wheel Gets the Grease—An Empirical Analysis of Customer Voice and Firm Intervention on Twitter," Marketing Science, INFORMS, vol. 34(5), pages 627-645, September.
    3. Naik, Prasad A. & Peters, Kay, 2009. "A Hierarchical Marketing Communications Model of Online and Offline Media Synergies," Journal of Interactive Marketing, Elsevier, vol. 23(4), pages 288-299.
    4. Chetna Kudeshia & Amresh Kumar, 2017. "Social eWOM: does it affect the brand attitude and purchase intention of brands?," Management Research Review, Emerald Group Publishing Limited, vol. 40(3), pages 310-330, March.
    5. Kaplan, Andreas M. & Haenlein, Michael, 2010. "Users of the world, unite! The challenges and opportunities of Social Media," Business Horizons, Elsevier, vol. 53(1), pages 59-68, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Schmidt, Christoph G. & Wuttke, David A. & Heese, H. Sebastian & Wagner, Stephan M., 2023. "Antecedents of public reactions to supply chain glitches," International Journal of Production Economics, Elsevier, vol. 259(C).
    2. Fraccastoro, Sara & Gabrielsson, Mika & Pullins, Ellen Bolman, 2021. "The integrated use of social media, digital, and traditional communication tools in the B2B sales process of international SMEs," International Business Review, Elsevier, vol. 30(4).
    3. Marchand, André & Hennig-Thurau, Thorsten & Flemming, Jan, 2021. "Social media resources and capabilities as strategic determinants of social media performance," International Journal of Research in Marketing, Elsevier, vol. 38(3), pages 549-571.
    4. Matea Matic Sosic, 2019. "Examining Social Media Usage In The Context Of Consumer Behaviour," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, vol. 28(2), pages 553-566, december.
    5. Park, Jungkun & Hyun, Hyowon & Thavisay, Toulany, 2021. "A study of antecedents and outcomes of social media WOM towards luxury brand purchase intention," Journal of Retailing and Consumer Services, Elsevier, vol. 58(C).
    6. Abdulla H. Fetais & Raed S. Algharabat & Abdullah Aljafari & Nripendra P. Rana, 2023. "Do Social Media Marketing Activities Improve Brand Loyalty? An Empirical Study on Luxury Fashion Brands," Information Systems Frontiers, Springer, vol. 25(2), pages 795-817, April.
    7. Fan, Rui & Xu, Ke & Zhao, Jichang, 2018. "An agent-based model for emotion contagion and competition in online social media," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 495(C), pages 245-259.
    8. Nour El Houda Ben Amor & Mohamed Nabil Mzoughi, 2023. "Do Millennials’ Motives for Using Snapchat Influence the Effectiveness of Snap Ads?," SAGE Open, , vol. 13(3), pages 21582440231, July.
    9. Mahan, Joseph E. & Seo, Won Jae & Jordan, Jeremy S. & Funk, Daniel, 2015. "Exploring the impact of social networking sites on running involvement, running behavior, and social life satisfaction," Sport Management Review, Elsevier, vol. 18(2), pages 182-192.
    10. Molina, Arturo & Fernández, Alejandra C. & Gómez, Mar & Aranda, Evangelina, 2017. "Differences in the city branding of European capitals based on online vs. offline sources of information," Tourism Management, Elsevier, vol. 58(C), pages 28-39.
    11. Carmela Milano, 2015. "Democratization or else vulgarization of cultural capital? The role of social networks in theater’s audience behavior," Working Papers CEB 15-004, ULB -- Universite Libre de Bruxelles.
    12. Yucheng Zhang & Zhiling Wang & Lin Xiao & Lijun Wang & Pei Huang, 2023. "Discovering the evolution of online reviews: A bibliometric review," Electronic Markets, Springer;IIM University of St. Gallen, vol. 33(1), pages 1-22, December.
    13. Hassan Danaeefard & Ali Farazmand & Akram Dastyari, 2023. "The Iranian Coronavirus Pandemic (COVID-9) Crisismanship: Understanding the Contributions of National Culture, Media, Technology and Economic System," Public Organization Review, Springer, vol. 23(4), pages 1661-1682, December.
    14. Richey, Michelle & Ravishankar, M.N., 2019. "The role of frames and cultural toolkits in establishing new connections for social media innovation," Technological Forecasting and Social Change, Elsevier, vol. 144(C), pages 325-333.
    15. Jamal El-Den & Pratap Adikhari & Pratap Adikhari, 2017. "Social media in the service of social entrepreneurship: Identifying factors for better services," Journal of Advances in Humanities and Social Sciences, Dr. Yi-Hsing Hsieh, vol. 3(2), pages 105-114.
    16. Smith, Andrew N. & Fischer, Eileen & Yongjian, Chen, 2012. "How Does Brand-related User-generated Content Differ across YouTube, Facebook, and Twitter?," Journal of Interactive Marketing, Elsevier, vol. 26(2), pages 102-113.
    17. Bo Yang & Chao Liu & Xusen Cheng & Xi Ma, 2022. "Understanding Users' Group Behavioral Decisions About Sharing Articles in Social Media: An Elaboration Likelihood Model Perspective," Group Decision and Negotiation, Springer, vol. 31(4), pages 819-842, August.
    18. Gal-Tzur, Ayelet & Grant-Muller, Susan M. & Kuflik, Tsvi & Minkov, Einat & Nocera, Silvio & Shoor, Itay, 2014. "The potential of social media in delivering transport policy goals," Transport Policy, Elsevier, vol. 32(C), pages 115-123.
    19. Fathey Mohammed & Nabil Hasan Al-Kumaim & Ahmed Ibrahim Alzahrani & Yousef Fazea, 2023. "The Impact of Social Media Shared Health Content on Protective Behavior against COVID-19," IJERPH, MDPI, vol. 20(3), pages 1-16, January.
    20. Fazal Ur Rehman & Rosman Bin Md Yusoff & Fadillah Binti Ismail & Farwida Javed, 2019. "What is Brand? Some Insights in the Historical Development," Information Management and Business Review, AMH International, vol. 10(4), pages 8-13.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eur:ejesjr:181. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Revistia Research and Publishing (email available below). General contact details of provider: https://revistia.com/index.php/ejes .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.