Time-varying short-horizon predictability

• 成果类型: Article
• 署名作者: Henkel, Sam James; Martin, J. Spencer; Nardari, Federico
• 署名单位: University of Houston System; University of Houston; University of Melbourne
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.09.008
• 发表日期: 2011
• 页码: 560-580
• 关键词: stock return predictability; asset pricing; business fluctuations; Financial markets and the macroeconomy

摘要

In the G7 countries, the short-horizon performance of aggregate return predictors such as the dividend yield and the short rate appears non-existent during business cycle expansions but sizable during contractions. This phenomenon appears related to countercyclical risk premiums as well as the time-variation in the dynamics of predictors. Our empirical model outperforms the historical average out-of-sample in the US, but the results throughout the G7 are mixed. (C) 2010 Elsevier B.V. All rights reserved.