Time-varying short-horizon predictability

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• 作者：Sam James Henkel^a ; ^{samuel.henkel@yale.edu} ; J. Spencer Martin^a ; ^{martis@unimelb.edu.au} ; Federico Nardari^b ; ^{fnardari@uh.edu}
• 关键词：Stock return predictability ; Asset pricing ; Business fluctuations ; Financial markets and the macroeconomy
• 刊名：Journal of Financial Economics
• 出版年：2011
• 出版时间：March 2011
• 年：2011
• 卷：99
• 期：3
• 页码：560-580
• 全文大小：580 K

文摘

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.