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Global Economic Growth and Expected Returns Around the World: The End-of-the-Year Effect

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  • Stig V. Møller

    (CREATES, Aarhus University, 8210 Aarhus, Denmark)

  • Jesper Rangvid

    (Department of Finance, Copenhagen Business School, 2000 Frederiksberg, Denmark)

Abstract

Global economic growth at the end of the year strongly predicts returns from a wide spectrum of international assets, such as global, regional, and individual-country stocks, FX, and commodities. Global economic growth at other times of the year does not predict international returns. Low growth in the global economy at the end of the year predicts higher returns over the following year. It also predicts the global business cycle. When global economic growth at the end of the year is low, investors expect a worsening of the global business cycle and increase their required returns. This paper was accepted by Lauren Cohen, finance .

Suggested Citation

  • Stig V. Møller & Jesper Rangvid, 2018. "Global Economic Growth and Expected Returns Around the World: The End-of-the-Year Effect," Management Science, INFORMS, vol. 64(2), pages 573-591, February.
    • Handle: RePEc:inm:ormnsc:v:64:y:2018:i:2:p:573-591
    DOI: mnsc.2016.2589
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