International stock return predictability : on the role of the United States in bad and good times

Boriss Siliverstovs

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.

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Year of publication:	July 26, 2016
Authors:	Siliverstovs, Boriss
Publisher:	Zurich, Switzerland : KOF
Subject:	Excess stock return \| U.S. recessions and expansions \| asymmetric response \| USA \| United States \| Schätzung \| Estimation \| Kapitaleinkommen \| Capital income \| Prognoseverfahren \| Forecasting model \| Börsenkurs \| Share price \| Konjunktur \| Business cycle \| Aktienmarkt \| Stock market

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Extent:	1 Online-Ressource (circa 10 Seiten)
Series:	KOF working papers. - Zürich : [Verlag nicht ermittelbar], ZDB-ID 2107617-0. - Vol. no. 408
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Other identifiers:	10.3929/ethz-a-010689622 [DOI] hdl:10419/148972 [Handle]
Classification:	C22 - Time-Series Models ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011519115