In:
American Economic Review: Insights, American Economic Association, Vol. 4, No. 2 ( 2022-06-01), p. 239-254
Abstract:
Samuelson’s Dictum refers to the conjecture that there is more informational inefficiency at the aggregate stock market level than at the individual stock level. Our paper recasts it in a global setup: there should be more informational inefficiency at the global level than at the country level. We find that sovereign CDS spreads can predict future stock market index returns, GDP, and PMI of their underlying countries. Consistent with the global version of Samuelson’s Dictum, the predictive power for both stock returns and macro variables is almost entirely from the global, rather than country-specific, information from the sovereign CDS market. (JEL G12, G14, G17)
Type of Medium:
Online Resource
ISSN:
2640-205X
,
2640-2068
DOI:
10.1257/aeri.20210186
Language:
English
Publisher:
American Economic Association
Publication Date:
2022
detail.hit.zdb_id:
2957500-X
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