Credit conditions and stock return predictability

• 成果类型: Article
• 署名作者: Chava, Sudheer; Gallmeyer, Michael; Park, Heungju
• 署名单位: University System of Georgia; Georgia Institute of Technology; University of Virginia; Peking University Shenzhen Graduate School (PKU Shenzhen); Peking University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2015.06.004
• 发表日期: 2015
• 页码: 117-132
• 关键词: Stock predictability; Credit supply; macroeconomics; survey data

摘要

U.S. stock return predictability is analyzed using a measure of credit standards (Standards) derived from the Federal Reserve Board's Senior Loan Officer Opinion Survey on Bank Lending Practices. Standards is a strong predictor of stock returns at a business cycle frequency, especially in the post-1990 data period. Empirically, a tightening of Standards predicts lower future stock returns. Standards performs well both in-sample and out-of-sample and is robust to a host of consistency checks. Standards captures stock return predictability at a business cycle frequency and is driven primarily by the ability of Standards to predict cash flow news. (C) 2015 Elsevier B.V. All rights reserved.