Journal of Financial Economics Vol. 25 No. 1 1989
Business conditions and expected returns on stocks and bonds
Abstract
Expected returns on common stocks and long-term bonds contain a term or maturity premium that has a clear business-cycle pattern (low near peaks, high near troughs). Expected returns also contain a risk premium that is related to longer-term aspects of business conditions. The variation through time in this premium is stronger for low-grade bonds than for high-grade bonds and stronger for stocks than for bonds. The general message is that expected returns are lower when economic conditions are strong and higher when conditions are weak.
- DOI
- 10.1016/0304-405x(89)90095-0
- Volume
- 25
- Issue
- 1
- Pages
- 23-49
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref