Title of article
Business cyclevariationintherisk-returntrade-off
Author/Authors
Hanno Lustig، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2012
Pages
15
From page
35
To page
49
Abstract
In theUnitedStatesandotherOrganisationforEconomicCo-operationandDevelopment
(OECD)countries,theexpectedreturnsonstocks,adjustedforvolatility,aremuchhigher
in recessionsthaninexpansions.Weconsiderfeasibletradingstrategiesthatbuyorsell
shortlyafterbusinesscycleturningpointsthatareidentifiableinrealtimeandinvolve
holdingperiodsofupto1year.Theobservedbusinesscyclechangesinexpectedreturns
are notspuriouslydrivenbychangesinexpectednear-termdividendgrowth.Our
findingsimplythatvalue-maximizingmanagersfacemuchhigherrisk-adjustedcostsof
capitalintheirinvestmentdecisionsduringrecessionsthanexpansions
Journal title
Journal of Monetary Economics
Serial Year
2012
Journal title
Journal of Monetary Economics
Record number
846563
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