European business cycles and stock return predictability

This paper finds that the European leading economic indicator, a prime business cycle indicator for the European economies published by the OECD, can strongly predict European stock returns and generate utility gains. Importantly, the predictive power of the European indicator is above and beyond that contained in the country-specific leading indicator. Furthermore, we find that the predictive power of the European indicator is stable.

MoreLess

Year of publication:	2014
Authors:	Zhu, Yanjian ; Zhu, Xiaoneng
Published in:	Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 11.2014, 4, p. 446-453
Publisher:	Elsevier
Subject:	Stock returns \| Economic value \| European business cycles \| Return predictability

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011118184