European business cycles and stock return predictability

Yanjian Zhu and Xiaoneng Zhu

Finance Research Letters, 2014, vol. 11, issue 4, 446-453

Abstract: This paper finds that the European leading economic indicator, a prime business cycle indicator for the European economies published by the OECD, can strongly predict European stock returns and generate utility gains. Importantly, the predictive power of the European indicator is above and beyond that contained in the country-specific leading indicator. Furthermore, we find that the predictive power of the European indicator is stable.

Keywords: Stock returns; Economic value; European business cycles; Return predictability (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G15 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:11:y:2014:i:4:p:446-453

DOI: 10.1016/j.frl.2014.10.002

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