Header

UZH-Logo

Maintenance Infos

International evidence for return predictability and the implications for long-run covariation of the G7 stock markets


Nitschka, Thomas (2007). International evidence for return predictability and the implications for long-run covariation of the G7 stock markets. Working paper series / Institute for Empirical Research in Economics No. 338, University of Zurich.

Abstract

Temporary fluctuations of the U.S. consumption-wealth ratio, cay, predict excess returns onninternational stock markets at the business cycle frequency. This finding is the reflection of a common, temporary component in national stock markets. Exposure to this common component explains up to 60 percent of the covariation among long-horizon returns on the G7nstock markets for the time period from 1973 to 2005. The impact of the common componentnon stock market comovement is particularly pronounced in the period from 1990 to 2005.

Abstract

Temporary fluctuations of the U.S. consumption-wealth ratio, cay, predict excess returns onninternational stock markets at the business cycle frequency. This finding is the reflection of a common, temporary component in national stock markets. Exposure to this common component explains up to 60 percent of the covariation among long-horizon returns on the G7nstock markets for the time period from 1973 to 2005. The impact of the common componentnon stock market comovement is particularly pronounced in the period from 1990 to 2005.

Statistics

Downloads

501 downloads since deposited on 29 Nov 2011
11 downloads since 12 months
Detailed statistics

Additional indexing

Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Economics
Working Paper Series > Institute for Empirical Research in Economics (former)
Dewey Decimal Classification:330 Economics
Language:English
Date:November 2007
Deposited On:29 Nov 2011 22:47
Last Modified:12 Aug 2017 13:04
Series Name:Working paper series / Institute for Empirical Research in Economics
ISSN:1424-0459
Official URL:http://www.econ.uzh.ch/wp.html

Download

Preview Icon on Download
Preview
Filetype: PDF
Size: 1MB

TrendTerms

TrendTerms displays relevant terms of the abstract of this publication and related documents on a map. The terms and their relations were extracted from ZORA using word statistics. Their timelines are taken from ZORA as well. The bubble size of a term is proportional to the number of documents where the term occurs. Red, orange, yellow and green colors are used for terms that occur in the current document; red indicates high interlinkedness of a term with other terms, orange, yellow and green decreasing interlinkedness. Blue is used for terms that have a relation with the terms in this document, but occur in other documents.
You can navigate and zoom the map. Mouse-hovering a term displays its timeline, clicking it yields the associated documents.

Author Collaborations