Idiosyncrasy as a Leading Indicator
研究发现，股票收益的特质波动增加能提前预测下一季度的实际GDP、工业生产和消费增长，且这种预测能力在控制其他领先指标后依然存在。
Abstract Disequilibrating macro shocks affect different firms’ prospects differently, increasing idiosyncratic variation in forward-looking stock returns before affecting economic growth. Consistent with most such shocks from 1947 to 2020 enhancing productivity, increased idiosyncratic stock return variation forecasts next-quarter real GDP growth, industrial production growth, and consumption growth both in-sample and out-of-sample. These effects persist after controlling for other leading economic indicators.