Business cycle variation in the risk-return trade-off
成果类型：
Article
署名作者：
Lustig, Hanno; Verdelhan, Adrien
署名单位：
University of California System; University of California Los Angeles; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2012.11.003
发表日期：
2012
页码：
S35-S49
关键词：
摘要：
In the United States and other Organisation for Economic Co-operation and Development (OECD) countries, the expected returns on stocks, adjusted for volatility, are much higher in recessions than in expansions. We consider feasible trading strategies that buy or sell shortly after business cycle turning points that are identifiable in real time and involve holding periods of up to 1 year. The observed business cycle changes in expected returns are not spuriously driven by changes in expected near-term dividend growth. Our findings imply that value-maximizing managers face much higher risk-adjusted costs of capital in their investment decisions during recessions than expansions. (C) 2012 Elsevier B.V. All rights reserved.
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