Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/148972
Authors: 
Siliverstovs, Boriss
Year of Publication: 
2016
Series/Report no.: 
KOF Working Papers 408
Abstract: 
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.
Subjects: 
Excess stock return
U.S. recessions and expansions
asymmetric response
JEL: 
C22
G12
G14
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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