Consumer confidence or the business cycle: What matters more for European expected returns?

Stig V. Møller, Henrik Nørholm and Jesper Rangvid

Journal of Empirical Finance, 2014, vol. 28, issue C, 230-248

Abstract: Answer: The business cycle.

Keywords: Time-varying expected returns; Business cycle risk; Output gap; Consumer confidence; Bootstrap; GMM (search for similar items in EconPapers)
JEL-codes: E44 G12 G14 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:28:y:2014:i:c:p:230-248

DOI: 10.1016/j.jempfin.2014.07.004

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