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What econometric symbol list (or tickers) could be used to forecast return of global stock market indexes (S&P500, TSX, CAC40, ...) and their subsectors?

I'm aware of the answer to question: What data sources are available online?

What I'm looking to build is a actual list of tickers that could be used from the databases stated above.

Please add to the follow items:

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Makani
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1 Answers1

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There are three categories of variables in Fred that have been shown to have some predictiveness for [longer run] stock returns:

-Interest rate spreads (constructed from the following)

FEDFUNDS Effective Federal Funds Rate

TB3MS 3-Month Treasury Bil

GS1 1-Year Treasury Rate

GS5 5-Year Treasury Rate

GS10 10-Year Treasury Rate

-Credit spreads

BAAFFM Moody's Baa Corporate Bond Minus FEDFUNDS

-DivYields & E/P ratios

S&P div yield S&P's Composite Common Stock: Dividend Yield

S&P_PE_ratio S&P's Composite Common Stock: Price-Earnings Ratio

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nbbo2
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  • Would you have a reference for this? Alternatively, do you imply that taking these variables for other economy would also have "some" predictiveness ? – Makani Aug 05 '15 at 22:25
  • It is a controversial area. Some references:

    Campbell, J. Y., and R. J. Shiller, 1998, “Valuation Ratios and the Long-Run Stock Market Outlook,” Journal of Portfolio Management 24(2), 11—26

    Fama, E. F., and K. R. French, 1988, “Dividend Yields and Expected Stock Returns,” Journal of Financial Economics , 22, 3—25.

    Fama, E. F., and K. R. French, 1989, “Business Conditions and Expected Returns on Stocks and Bonds,” Journal of Financial Economics, 25, 23—49

     – Alex C Aug 05 '15 at 22:49