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The business cycle and the equity risk premium in real time

✍ Scribed by Renatas Kizys; Christian Pierdzioch


Book ID
113664391
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
348 KB
Volume
19
Category
Article
ISSN
1059-0560

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πŸ“œ SIMILAR VOLUMES


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## Abstract This paper explores the effects of the US business cycle on US stock market returns through an analysis of the equity risk premium. We propose a new methodology based on the SDF approach to asset pricing that allows us to uncover the different effects of aggregate demand and supply shoc