Time-Varying Short-Horizon Return Predictability

In the G7 countries, the short-horizon performance of aggregate return predictors such as the dividend yield and the short rate appears nonexistent 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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Year of publication:	[2011]
Authors:	Henkel, Sam James
Other Persons:	Martin, J. Spencer (contributor) ; Nardari, Federico (contributor)
Publisher:	[2011]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (45 p)
Type of publication:	Book / Working Paper
Notes:	In: Journal of Financial Economics (JFE), Vol. 99, No. 3, 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 24, 2010 erstellt
Classification:	E32 - Business Fluctuations; Cycles ; E44 - Financial Markets and the Macroeconomy ; G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012756679