Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089013 | Journal of Banking & Finance | 2014 | 26 Pages |
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
Thomas Nitschka,