Stock returns and expected business conditions: half a century of direct evidence
"We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions consis...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
National Bureau of Economic Research
2005
|
| Series: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11736 |
| Subjects: | |
| Online Access: | Volltext |
| Summary: | "We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions consistently affect expected excess returns in a statistically and economically significant counter-cyclical fashion: depressed expected business conditions are associated with high expected excess returns. Moreover, inclusion of expected business conditions in otherwisestandard predictive return regressions substantially reduces the explanatory power of the conventional financial predictors, including the dividend yield, default premium, and term premium, while simultaneously increasing R-squared. Expected business conditions retain predictive power even after controlling for an important and recently introduced non-financial predictor, the generalized consumption/wealth ratio, which accords with the view that expected business conditions play a role in asset pricing different from and complementary to that of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk, while time-varying consumption/wealth may capture time-varying risk aversion"--National Bureau of Economic Research web site. |
| Physical Description: | 16, [11] S. graph. Darst. |
Staff View
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| index_date | 2024-07-02T14:04:26Z |
| indexdate | 2024-07-09T20:36:06Z |
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| language | English |
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| spelling | Campbell, Sean D. Verfasser (DE-588)128972289 aut Stock returns and expected business conditions half a century of direct evidence Sean D. Campbell ; Francis X. Diebold Cambridge, Mass. National Bureau of Economic Research 2005 16, [11] S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11736 "We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions consistently affect expected excess returns in a statistically and economically significant counter-cyclical fashion: depressed expected business conditions are associated with high expected excess returns. Moreover, inclusion of expected business conditions in otherwisestandard predictive return regressions substantially reduces the explanatory power of the conventional financial predictors, including the dividend yield, default premium, and term premium, while simultaneously increasing R-squared. Expected business conditions retain predictive power even after controlling for an important and recently introduced non-financial predictor, the generalized consumption/wealth ratio, which accords with the view that expected business conditions play a role in asset pricing different from and complementary to that of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk, while time-varying consumption/wealth may capture time-varying risk aversion"--National Bureau of Economic Research web site. Ökonometrisches Modell Business cycles United States Rate of return Econometric models Stocks United States USA Diebold, Francis X. 1959- Verfasser (DE-588)123909104 aut Erscheint auch als Internetausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11736 (DE-604)BV002801238 11736 http://papers.nber.org/papers/w11736.pdf kostenfrei Volltext |
| spellingShingle | Campbell, Sean D. Diebold, Francis X. 1959- Stock returns and expected business conditions half a century of direct evidence National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Business cycles United States Rate of return Econometric models Stocks United States |
| title | Stock returns and expected business conditions half a century of direct evidence |
| title_auth | Stock returns and expected business conditions half a century of direct evidence |
| title_exact_search | Stock returns and expected business conditions half a century of direct evidence |
| title_exact_search_txtP | Stock returns and expected business conditions half a century of direct evidence |
| title_full | Stock returns and expected business conditions half a century of direct evidence Sean D. Campbell ; Francis X. Diebold |
| title_fullStr | Stock returns and expected business conditions half a century of direct evidence Sean D. Campbell ; Francis X. Diebold |
| title_full_unstemmed | Stock returns and expected business conditions half a century of direct evidence Sean D. Campbell ; Francis X. Diebold |
| title_short | Stock returns and expected business conditions |
| title_sort | stock returns and expected business conditions half a century of direct evidence |
| title_sub | half a century of direct evidence |
| topic | Ökonometrisches Modell Business cycles United States Rate of return Econometric models Stocks United States |
| topic_facet | Ökonometrisches Modell Business cycles United States Rate of return Econometric models Stocks United States USA |
| url | http://papers.nber.org/papers/w11736.pdf |
| volume_link | (DE-604)BV002801238 |
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