| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14115 |
| DP14115 The Leverage Factor: Credit Cycles and Asset Returns | |
| Alan M. Taylor; Josh Davis | |
| 发表日期 | 2019-11-12 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Research finds strong links between credit booms and macroeconomic outcomes like financial crises and output growth. Are impacts also seen in financial asset prices? We document this robust and significant connection for the first time using a large sample of historical data for many countries. Credit boom periods tend to be followed by unusually low returns to equities, in absolute terms and relative to bonds. Return predictability due to this leverage factor is distinct from that of established factors like momentum and value and generates trading strategies with meaningful excess profits out-of-sample. These findings pose a challenge to conventional macro-finance theories. |
| 主题 | Economic History ; Financial Economics ; Macroeconomics and Growth ; Monetary Economics and Fluctuations |
| 关键词 | Debt Leverage Cycles Asset pricing Return predictability Asset allocation |
| URL | https://cepr.org/publications/dp14115 |
| 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/543003 |
| 推荐引用方式 GB/T 7714 | Alan M. Taylor,Josh Davis. DP14115 The Leverage Factor: Credit Cycles and Asset Returns. 2019. |
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