Journal of Financial Economics Vol. 99 No. 3 2011
Time-varying short-horizon predictability☆
Abstract
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.
- DOI
- 10.1016/j.jfineco.2010.09.008
- Volume
- 99
- Issue
- 3
- Pages
- 560-580
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref