International Stock Return Predictability: On the Role of the United States in Bad and Good Times
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Author
Date
2016-07Type
- Working Paper
ETH Bibliography
yes
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Abstract
In this paper we document the asymmetric role that the U.S. stock market plays in the international predictability of excess stock returns during recession and expansion periods. Most of the positive evidence accrues during the periods of recessions in the United States. During the expansions there is only a limited evidence supporting the importance of lagged U.S. returns in predictability of stock returns in 10 industrialised countries. Show more
Permanent link
https://doi.org/10.3929/ethz-a-010689622Publication status
publishedJournal / series
KOF Working PapersVolume
Publisher
KOF Swiss Economic Institute, ETH ZurichSubject
BÖRSENKURSE (FINANZEN); RECESSION (ECONOMY, MONEY AND CURRENCY); WIRTSCHAFTSLAGE; REZESSION (WIRTSCHAFT, GELD UND WÄHRUNG); VEREINIGTE STAATEN VON AMERIKA, USA (NORDAMERIKA); WIRTSCHAFTSAUFSCHWUNG + WIRTSCHAFTSERHOLUNG (KONJUNKTUR); ECONOMIC SITUATION; STOCK EXCHANGE SHARE PRICE (FINANCE); ECONOMIC RECOVERY + ECONOMIC UPSWING (MONEY AND CURRENCY); UNITED STATES OF AMERICA, USA (NORTH AMERICA)Organisational unit
02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
Related publications and datasets
Is original form of: http://hdl.handle.net/20.500.11850/165174
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ETH Bibliography
yes
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