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dc.contributor.authorCampbell, Sean D.en_US
dc.contributor.authorDiebold, Francis X.en_US
dc.date.accessioned2006-08-07en_US
dc.date.accessioned2009-07-24T13:47:13Z-
dc.date.available2009-07-24T13:47:13Z-
dc.date.issued2005en_US
dc.identifier.piurn:nbn:de:hebis:30-18120-
dc.identifier.urihttp://hdl.handle.net/10419/25421-
dc.description.abstractWe 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 otherwise standard 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 R2. 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.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2005/22en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordBusiness Cycleen_US
dc.subject.keywordExpected Equity Returnsen_US
dc.subject.keywordPredictionen_US
dc.subject.keywordLivingston Surveyen_US
dc.subject.keywordRisk Aversionen_US
dc.subject.keywordEquity Premiumen_US
dc.subject.keywordRisk Premiumen_US
dc.subject.stwKonjunkturprognoseen_US
dc.subject.stwAktienmarkten_US
dc.subject.stwKapitalertragen_US
dc.subject.stwRisikoprämieen_US
dc.subject.stwGeschäftsklimaen_US
dc.subject.stwTheorieen_US
dc.subject.stwUSAen_US
dc.titleStock returns and expected business conditions: Half a century of direct evidenceen_US
dc.typeWorking Paperen_US
dc.identifier.ppn504023225en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cfswop:200522-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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