International stock return predictability: on the role of the United States in bad and good times

Boriss Siliverstovs

Applied Economics Letters, 2017, vol. 24, issue 11, 771-773

Abstract: In this article, we document the asymmetric role that the US stock market plays in the international predictability of excess stock returns during recession and expansion periods. Most of the positive evidence accrues during the periods of recessions in the United States. During the expansions, there is only a limited evidence supporting the importance of lagged US returns in predictability of stock returns in 10 industrialized countries.

Date: 2017
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Working Paper: International Stock Return Predictability: On the Role of the United States in Bad and Good Times (2016)
Working Paper: International Stock Return Predictability: On the Role of the United States in Bad and Good Times (2016)
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DOI: 10.1080/13504851.2016.1226485

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