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Can output explain the predictability and volatility of stock returns?

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorRodríguez López, Rosa
dc.contributor.authorRestoy, Fernando
dc.contributor.authorPeña, Juan Ignacio
dc.date.accessioned2011-11-29T19:37:12Z
dc.date.available2011-11-29T19:37:12Z
dc.date.issued2002-04
dc.description.abstractThis paper examines whether a general equilibrium asset pricing model can explain two important empirical regularities of asset returns, extensively documented in the literature: (i) returns can be predicted by a set of macro variables, and (ii) returns are very volatile. We derive a closed-form solution for the equilibrium asset pricing model that relates asset returns to output by using an approximate method proposed by Campbell (Am. Econ. Rev. 83 (1993) 487) and Restoy and Weil (W.P. NBER, No. 6611 (1998)). We obtain evidence on eight OECD economies using both quarterly and annual observations. Equilibrium models seem to fin fewer difficultie in explaining the volatility of returns than their predictability for general output processes. In the case of the US, the observed predictability and volatility of asset returns, for annual frequencies, are broadly compatible with the predictions of equilibrium models for a reasonable
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationJournal of international money and finance, vol, 21, n. 2, apr. 2002, pp. 163-182
dc.identifier.doi10.1016/S0261-5606(01)00044-4
dc.identifier.issn0261-5606
dc.identifier.publicationfirstpage163
dc.identifier.publicationissue2
dc.identifier.publicationlastpage182
dc.identifier.publicationtitleJournal of international money and finance
dc.identifier.publicationvolume21
dc.identifier.urihttps://hdl.handle.net/10016/12669
dc.language.isoeng
dc.publisherElsevier
dc.relation.publisherversionhttp://www.journals.elsevier.com/journal-of-international-money-and-finance/
dc.relation.publisherversionhttp://dx.doi.org/10.1016/S0261-5606(01)00044-4
dc.rights©Elsevier Science Ltd.
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.subject.otherGeneralized isoelastic preferences
dc.subject.otherAsset returns
dc.subject.otherReal activity
dc.subject.otherVolatility
dc.titleCan output explain the predictability and volatility of stock returns?
dc.typeresearch article*
dc.type.hasVersionVoR*
dspace.entity.typePublication
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