Short- and Long-Run Business Conditions and Expected Returns

• 成果类型: Article
• 署名作者: Liu, Qi; Tao, Libin; Wu, Weixing; Yu, Jianfeng
• 署名单位: Peking University; University of International Business & Economics; Tsinghua University; University of Minnesota System; University of Minnesota Twin Cities
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2016.2552
• 发表日期: 2017
• 页码: 4137-4157
• 关键词: business condition; expected stock return; business cycle; long run; SHORT RUN

摘要

Numerous studies argue that the market risk premium is associated with expected economic conditions and show that proxies for expected business conditions indeed predict aggregate market returns. By directly estimating short- and long-run expected economic growth, we show that short- run expected economic growth is negatively related to future returns, whereas long-run expected economic growth is positively related to aggregate market returns. In addition, our findings indicate that the risk premium has both high- and low-frequency fluctuations and highlight the importance of distinguishing short- and long-run economic growth in macro-asset pricing models.