Smith, Peter N.; Sorensen, Steffen; Wickens, Michael - In: International Journal of Finance & Economics 15 (2010) 2, pp. 134-152
This paper explores the effects of the US business cycle on US stock market returns through an analysis of the equity risk premium. We propose a new methodology based on the SDF approach to asset pricing that allows us to uncover the different effects of aggregate demand and supply shocks. We...