Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5069771 | Finance Research Letters | 2013 | 7 Pages |
Abstract
⺠We conjecture that stock return predictability is time-varying and linked to the business cycle. ⺠Using monthly data for twelve US sector portfolios, we estimate 5-year rolling fixed window predictive regressions. ⺠The series of time varying predictive coefficients are regressed on output growth and a recession dummy. ⺠Results for the dividend yield strongly support a negative relationship between predictability and output growth. ⺠Predictability of stock returns is stronger during contractionary periods.
Related Topics
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Economics and Econometrics
Authors
Massimo Guidolin, David G. McMillan, Mark E. Wohar,