In this paper we use an economic tracking portfolio (ETP) approach for forecasting future values of macroeconomic variables in the IT-sensitive Finnish stock market. The results confirm recently obtained conclusions in Lamont (2001), Hayes (2001) and Junttila (2002) that ETPs contain relevant...

Based on an extension of the Gordon (1962) growth model we propose a simple approach to forecasting real growth, inflation and real exchange rate. The extension is rooted in introducing the Fisher (1930) and Euler equations, and in the open economy context, also the purchasing power parity (PPP)...

We analyze the effect of declining macro-economic risk to the country-wide cost of equity capital. Our empirical results indicate that the earnings capitalization rates derived from a standard equity valuation model increased especially in the EMU countries during the EMU convergence period....

Using recently developed modelling methodology of Economic Tracking Portfolios (ETP), we find that it is possible to forecast future values of inflation and changes in industrial production in the United States and at least three core euro countries - Italy, France and Germany - utilising only...

Using a battery of simple unit root test procedures with alternative null hypotheses we find some evidence of speculative bubbles in the Finnish stock market for monthly data on industry portfolio returns from the 1990's. The bubbles seem to be present in the information technology (IT) returns...