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dc.contributor.authorCampbell, Sean D.en
dc.contributor.authorDiebold, Francis X.en
dc.date.accessioned2006-08-07-
dc.date.accessioned2009-07-24T13:47:13Z-
dc.date.available2009-07-24T13:47:13Z-
dc.date.issued2005-
dc.identifier.piurn:nbn:de:hebis:30-18120en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2005/22en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordBusiness Cycleen
dc.subject.keywordExpected Equity Returnsen
dc.subject.keywordPredictionen
dc.subject.keywordLivingston Surveyen
dc.subject.keywordRisk Aversionen
dc.subject.keywordEquity Premiumen
dc.subject.keywordRisk Premiumen
dc.subject.stwKonjunkturprognoseen
dc.subject.stwAktienmarkten
dc.subject.stwKapitalertragen
dc.subject.stwRisikoprämieen
dc.subject.stwGeschäftsklimaen
dc.subject.stwTheorieen
dc.subject.stwUSAen
dc.titleStock returns and expected business conditions: Half a century of direct evidence-
dc.typeWorking Paperen
dc.identifier.ppn504023225en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:200522en

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