Arbeitspapier
International stock return predictability: On the role of the United States in bad and good times
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: KOF Working Papers ; No. 408
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Asset Pricing; Trading Volume; Bond Interest Rates
Information and Market Efficiency; Event Studies; Insider Trading
- Subject
-
Excess stock return
U.S. recessions and expansions
asymmetric response
- Event
-
Geistige Schöpfung
- (who)
-
Siliverstovs, Boriss
- Event
-
Veröffentlichung
- (who)
-
ETH Zurich, KOF Swiss Economic Institute
- (where)
-
Zurich
- (when)
-
2016
- DOI
-
doi:10.3929/ethz-a-010689622
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Siliverstovs, Boriss
- ETH Zurich, KOF Swiss Economic Institute
Time of origin
- 2016
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