Stig Moller of Aarhus University and Jesper Rangvid of Copenhagen Business School have found a negative and statistically significant correlation between US industrial production growth at the end of a calendar year and equity returns the following year. Since 1948, they estimate, falls in output in the fourth quarter have tended to lead to above-average rises in share prices the following year, especially for smaller stocks.
But this is only true for year-end growth. Changes in output in the other three-quarters of the year, they estimate, have no significant predictive power for returns.