Tradability of Output, Business Cycles, and Asset Prices

Mary Tian
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Mary Tian: https://www.federalreserve.gov/econres/mary-tian.htm

No 2015-3, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: I examine the effect of a firm's tradability, the proportion of output that is exported abroad, on its stock returns. There are three novel empirical findings: (1) firms with higher tradability have more cyclical asset returns; (2) firms with higher tradability have more cyclical earnings growth; (3) returns of a portfolio long on firms with the highest tradability and short on firms with the lowest tradability can predict the real exchange rate. The empirical patterns are consistent with the relative price adjustment of tradable and non-tradable goods to business cycles driven by endowment shocks.

Keywords: Asset returns; cyclicality; tradability (search for similar items in EconPapers)
Pages: 51 pages
Date: 2015-01-08
New Economics Papers: this item is included in nep-bec, nep-mac and nep-mfd
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http://www.federalreserve.gov/econresdata/feds/2015/files/2015003pap.pdf Full text (application/pdf)
http://dx.doi.org/10.17016/FEDS.2015.003 http://dx.doi.org/10.17016/FEDS.2015.003 (application/pdf)

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