Global Stock Markets
Expected returns, consumption, and the business cycle
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Beschreibung
Stock investments have become increasingly international, but only recently a deeper theoretical understanding of the forces influencing global stock market returns has been gained from empirical studies. This is a crucial issue for asset managers in order to control the risks and exposures of global stock portfolios successfully.
Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle: If the time variation in expected returns is rational, driven by shocks to taste or technology, the variation in expected returns should be related to variation in consumption, investment, and savings. Testing both stochastic discount factor models and beta pricing models, the author finds that predictability of stock returns is perfectly consistent with the concept of market efficiency, and stock prices need not follow a random walk.
Stock investments have become increasingly international, but only recently a deeper theoretical understanding of the forces influencing global stock market returns has been gained from empirical studies. This is a crucial issue for asset managers in order to control the risks and exposures of global stock portfolios successfully.
Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle: If the time variation in expected returns is rational, driven by shocks to taste or technology, the variation in expected returns should be related to variation in consumption, investment, and savings. Testing both stochastic discount factor models and beta pricing models, the author finds that predictability of stock returns is perfectly consistent with the concept of market efficiency, and stock prices need not follow a random walk.
Autor*in
Wolfgang Drobetz
Themen in »Global Stock Markets«
International Financial Market arbitrage asset pricing asset pricing model business business cycle econometrics efficiency equilibrium financial market financial markets modeling portfolio pricing science and technology