International Stock Return Predictability: On the Role of the United States in Bad and Good Times

Boriss Siliverstovs

No 16-408, KOF Working papers from KOF Swiss Economic Institute, ETH Zurich

Abstract: In this paper we document the asymmetric role that the U.S. 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 U.S. returns in predictability of stock returns in 10 industrialised countries.

Pages: 8 pages
Date: 2016-07
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (3)

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http://dx.doi.org/10.3929/ethz-a-010689622 (application/pdf)

Related works:
Journal Article: International stock return predictability: on the role of the United States in bad and good times (2017)
Working Paper: International Stock Return Predictability: On the Role of the United States in Bad and Good Times (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:kof:wpskof:16-408

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