Which daily equity returns improve output forecasts?
研究了将日度金融数据通过MIDAS回归纳入模型后，对美国及欧元区实际产出增长的短期预测改进，发现大型资本密集型企业的股票回报信息贡献最大。
We document the improvements in short term forecasts of real output growth for the United States and the euro area from incorporating daily financial data and using mixed data sampling (MIDAS) regressions. Furthermore, we show that a significant share of forecast improvements are driven by information embedded in stock returns of large, capital-intensive firms. In comparison, labor-intensive firms contribute less to improvements in output forecasts within a MIDAS framework.