We use data from the aggregate equity market and dividend futures to quantify how investors’ expectations about economic growth across horizons evolve in response to the coronavirus outbreak and subsequent policy responses. Dividend futures, which are claims to dividends on the aggregate stock market in a particular year, can be used to directly compute a lower bound on growth expectations across maturities or to estimate expected growth using a simple forecasting model. We show how the actual forecast and the bound evolve over time. As of March 18, our forecast of annual growth in dividends is down 28% in the US and 25% in the EU, and our forecast of GDP growth is down by 2.6% both in the US and in the EU. The lower bound on the change in expected dividends is -43% in the US and -50% in the EU on the 3-year horizon. The lower bound is model free and completely forward looking. There are signs of catchup growth from year 4 to year 10. News about economic relief programs on March 13 appear to have increased stock prices by lowering risk aversion and lift long-term growth expectations, but did little to improve expectations about short-term growth. The events on March 16 and March 18 reflect a deterioration of expected growth in the US and predict a deepening of the economic downturn. We also show how data on dividend futures can be used to understand why stock markets fell so sharply, well
beyond changes in growth expectations.
Gormsen, Niels Joachim and Koijen, Ralph S. J., Coronavirus: Impact on Stock Prices and Growth Expectations (March 20, 2020). University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-22. Available at SSRN: https://ssrn.com/abstract=3555917
Os autores estão atualizando os dados regularmente, conforme o comportamento do mercado. Aqui os links sobre o modelo.
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