Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
959748 | Journal of Financial Economics | 2011 | 21 Pages |
Abstract
In the G7 countries, the short-horizon performance of aggregate return predictors such as the dividend yield and the short rate appears non-existent during business cycle expansions but sizable during contractions. This phenomenon appears related to countercyclical risk premiums as well as the time-variation in the dynamics of predictors. Our empirical model outperforms the historical average out-of-sample in the US, but the results throughout the G7 are mixed.
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Authors
Sam James Henkel, J. Spencer Martin, Federico Nardari,