Time Varying Risk Premia and the Output Gap Export

@article{citeulike:6045053, abstract = {The output gap, a production based macroeconomic variable, is a strong predictor of US stock returns. It is a prime business cycle indicator that does not include the level of market prices, thus removing any suspicion that returns are forecastable due to a "fad" in prices being washed away. The output gap forecasts returns both in-sample and out-of-sample and it is robust to a host of checks. We show that the output gap also has predictive power for excess stock returns in other G7 countries and US excess bond returns.}, author = {Cooper, Ilan and Priestley, Richard}, citeulike-article-id = {6045053}, citeulike-linkout-0 = {http://ssrn.com/abstract=1128107}, citeulike-linkout-1 = {http://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1128107_code235905.pdf?abstractid=1128107&mirid=1}, day = {04}, journal = {Social Science Research Network Working Paper Series}, keywords = {gap, output, predictability, premia, return, risk}, month = {May}, posted-at = {2009-10-30 21:34:31}, priority = {4}, publisher = {SSRN}, title = {Time Varying Risk Premia and the Output Gap}, url = {http://ssrn.com/abstract=1128107}, year = {2008} }

TY - JOUR ID - citeulike:6045053 L3 - citeulike-article-id:6045053 N2 - The output gap, a production based macroeconomic variable, is a strong predictor of US stock returns. It is a prime business cycle indicator that does not include the level of market prices, thus removing any suspicion that returns are forecastable due to a "fad" in prices being washed away. The output gap forecasts returns both in-sample and out-of-sample and it is robust to a host of checks. We show that the output gap also has predictive power for excess stock returns in other G7 countries and US excess bond returns. JF - Social Science Research Network Working Paper Series TI - Time Varying Risk Premia and the Output Gap PB - SSRN KW - gap KW - output KW - predictability KW - premia KW - return KW - risk AU - Cooper, Ilan AU - Priestley, Richard PY - 2008/May/04/ UR - http://ssrn.com/abstract=1128107 ER -