Article ID Journal Published Year Pages File Type
5085123 International Review of Financial Analysis 2013 11 Pages PDF
Abstract
► The output gap is a leading indicator of cross-sectional portfolio returns in the US. ► Output gap chiefly predicts cross-sectional portfolio returns via the market return. ► The output gap has very little predictive power for the value effect. ► The output gap has modest predictive power for the size effect.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?
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