Henkel, Sam James; Martin, J. Spencer; Nardari, Federico - In: Journal of Financial Economics 99 (2011) 3, pp. 560-580
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...