• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Handelshøyskolen BI
  • Articles
  • Scientific articles
  • View Item
  •   Home
  • Handelshøyskolen BI
  • Articles
  • Scientific articles
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

The world business cycle and expected returns

Cooper, Ilan; Priestley, Richard
Journal article, Peer reviewed
Thumbnail
View/Open
Cooper_Priestley_ROF_2013.pdf (281.5Kb)
URI
http://hdl.handle.net/11250/93820
Date
2013
Metadata
Show full item record
Collections
  • Scientific articles [1667]
Original version
http://dx.doi.org/10.1093/rof/rfs014
Abstract
We study the predictability of stock returns using a pure macroeconomic mea-

sure of the world business cycle, namely the world's capital to output ratio. This variable

tracks variation in expected stock returns in a group of the major industrial economies

in the presence of world nancial market based predictor variables. The world's capi-

tal to output ratio exhibits strong out-of-sample predictive power in almost all countries studied. This is in contrast to nancial market based variables that almost never have out-of-sample forecasting power. Using the stock return predictability that we uncover, we nd that international versions of conditional asset pricing models perform well. The world capital to output ratio also predicts bond returns, interest rate changes and credit spreads. The results highlight the importance of world business conditions for nancial markets.
Description
This is the authors’ final, accepted and refereed manuscript to the article
Publisher
Oxford University Press
Journal
Review of Finance

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit