The calendar structure of risk and expected returns on stocks and bonds

• 成果类型: Article; Proceedings Paper
• 署名作者: Ogden, JP
• 署名单位: State University of New York (SUNY) System; University at Buffalo, SUNY
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(03)00141-7
• 发表日期: 2003
• 页码: 29-67
• 关键词: time-varying expected returns; Return predictability; seasonality; return reversal; macroeconomic

摘要

This paper documents, for 1947-2000, seasonalities in economic activity, stock and bond returns, and relationships among them. Evidence is consistent with an annual cycle view of economic activity and risk conditions. The power of lagged stock returns to forecast economic activity is greater for quarters ending in December and March. Mean excess returns on NYSE stocks in October through March account for 78-107% of their annual means and reflect a seasonal asymmetric return reversal tendency, which in turn explains low long-horizon variance ratios. Both market losses in April through September and subsequent returns in October through March are related, but with opposing signs, to October through March economic activity. The forecasting power of five variables is greatest for October through March. Tests of an asset-pricing model indicate that expected returns vary both cross-sectionally and over time. Implications for the debate between efficient markets and behavioral finance are discussed. (C) 2003 Elsevier B.V. All rights reserved.