| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9528 |
| DP9528 Economic Cycles and Expected Stock Returns | |
| Alessandro Beber; Michael Brandt; Maurizio Luisi | |
| 发表日期 | 2013-06-30 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We construct daily real-time indices capturing the public information on realized and anticipated economic activity. The one-month change in realized fundamentals predicts US stock returns across horizons with strongest results between a month and a quarter. The information in anticipated fundamentals that is orthogonal to the realized data predicts returns even more strongly particularly at longer horizons up to two quarters. Splitting the sample into times of high versus low uncertainty, as measured by the cross-sectional dispersion of economist forecasts, we show that the predictability is largely concentrated in high-uncertainty times. Finally, extending the analysis internationally, we find similar results that are curiously much stronger when US data are used as predictors than global composites or local data. |
| 主题 | Financial Economics |
| 关键词 | Macroeconomic uncertainty State of the economy Stock market predictability |
| URL | https://cepr.org/publications/dp9528 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538364 |
| 推荐引用方式 GB/T 7714 | Alessandro Beber,Michael Brandt,Maurizio Luisi. DP9528 Economic Cycles and Expected Stock Returns. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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