Recessions and the stock market

• 成果类型: Article
• 署名作者: Kroencke, Tim A.
• 署名单位: University of Neuchatel
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2022.07.004
• 发表日期: 2022
• 页码: 61-77
• 关键词: Business cycles and the stock market; Predictability of the price-dividend ratio; Empirical evaluation of macro-finance models

摘要

An event study approach is adopted to investigate the drivers of the stock market around recessions. First, stock prices and dividends drop contemporaneously when accounting for different timing conventions. Accordingly, stock prices do not anticipate recessions due to an economic mechanism (cash flow news). Second, the variance of price changes increases at least as much as the variance of dividend growth during recessions. This result suggests that changes in the price of risk (discount rate news) play an essential role. Implications and opportunities for standard asset pricing theories and recently proposed alternatives are also discussed.(c) 2022 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license ( http://creativecommons.org/licenses/by/4.0/ )