This paper analyzes the relationship between stock returns and real activity from the point of view of a general equilibrium, multicountry model of the business cycle. The empirical evidence suggests that there is a relationship between domestic output growth and domestic stock returns which...

This paper analyzes the empirical interdependencies among asset returns, real activity and inflation from a multi-country and international point of view. We find that nominal stock returns are significantly related to inflation only in the U.S, that the U.S. term structure of interest rates...

This paper examines the relationship between the equity premium and the risk free rate at three different maturities using post 1973 data for a panel of 7 OECD countries. We show the existence of subsample instabilities, of some cross country differences and of inconsistencies with the...