We show that the term structure of dividend risk premia and discount rates implied by equity strip yields are downward sloping in recessions and upward sloping in expansions, a finding which is statistically significant and robust across the U.S., Europe, and Japan. Our results are based on the...

We document a countercyclical sensitivity of the stock market to major macroeconomic news announcements. Stock prices react more to (either good or bad) announcement surprises when the economy is below its potential trend with the expectation of easing policy. Based on comprehensive regression...