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• W146151736 abstract "This paper draws on the theoretical concept of granularity to forecast aggregate stock market returns using firm-level data. When applied to stock market returns, granularity suggests that fluctuations in the returns of individual firms can be used to forecast future aggregate returns. This paper finds that a model including firm-level data outperforms a benchmark model based on aggregate variables alone. Furthermore, a real-time investment strategy based on our model beats a buyand-hold strategy on the stock market either in terms of cumulative returns or in terms of risk-adjusted excess returns or in both, depending on the forecast horizon." @default.
• W146151736 created "2016-06-24" @default.
• W146151736 creator A5027807581 @default.
• W146151736 date "2013-01-01" @default.
• W146151736 modified "2023-09-24" @default.
• W146151736 title "The Granularity of the Stock Market: Forecasting Aggregate Returns Using Firm-Level Data" @default.
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