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- Title
Can Changes in the Purchasing Managers' Index Foretell Stock Returns? An Additional Forward-looking Sentiment Indicator.
- Authors
JOHNSON, MARK A.; WATSON, KEVIN J.
- Abstract
The article explores whether the U.S. Purchasing Manager's Index (PMI) can lend itself to the forecasting of future stock using rolling regressions as well as examines the changes in PMI as an additional factor in Fama and French's popular three-factor model. The authors found a positive relationship between changes in PMI and stock returns using time-series regression analysis. The impact of the PMI changes on the stocks of smaller market capitalization firms and industries is also tackled.
- Subjects
UNITED States; PURCHASING managers index; STOCKS (Finance); REGRESSION analysis; MARKET capitalization; AMERICAN business enterprises
- Publication
Journal of Investing, 2011, Vol 20, Issue 4, p89
- ISSN
1068-0896
- Publication type
Article
- DOI
10.3905/joi.2011.20.4.089