Time-Varying Risk Premiums and the Output Gap

• 成果类型: Article
• 署名作者: Cooper, Ilan; Priestley, Richard
• 署名单位: BI Norwegian Business School; University of Haifa
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhn087
• 发表日期: 2009
• 页码: 2801
• 关键词: EXPECTED RETURNS; tests; expectations; consumption

摘要

The output gap, a production-based macroeconomic variable, is a strong predictor of U. S. stock returns. It is a prime business cycle indicator that does not include the level of market prices, thus removing any suspicion that returns are forecastable due to a fad in prices being washed away. The output gap forecasts returns both in-sample and out-of-sample, and it is robust to a host of checks. We show that the output gap also has predictive power for excess stock returns in other G7 countries and U.S. excess bond returns. (JEL E44, G12, G14)