全球智库信息集成服务系统(G2TT): The Leverage Factor: Credit Cycles and Asset Returns

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w26435
来源ID	Working Paper 26435
	The Leverage Factor: Credit Cycles and Asset Returns
	Josh Davis; Alan M. Taylor
发表日期	2019-11-11
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	Macroeconomics ; Macroeconomic Models ; Consumption and Investment ; Business Cycles ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions ; History ; Macroeconomic History
URL	https://www.nber.org/papers/w26435
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/584107
推荐引用方式 GB/T 7714	Josh Davis,Alan M. Taylor. The Leverage Factor: Credit Cycles and Asset Returns. 2019.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w26435.pdf（385KB）	智库出版物		限制开放	CC BY-NC-SA	浏览