Article ID Journal Published Year Pages File Type
5089013 Journal of Banking & Finance 2014 26 Pages PDF
Abstract
This paper empirically studies the predictability of emerging markets' stock returns by business cycle variables and the role of developed markets' business cycle dynamics in this respect. The evidence shows that the link between business cycles and future stock market returns among emerging markets is considerably weaker than among developed markets. By contrast, I find strong evidence of stock return predictability by the respective country's dividend-price ratio. This latter finding could reflect that variation in dividend-price ratios potentially reflects both the temporary impact of “hot money” inflows on emerging markets' asset prices and rational expectations of future returns.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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