Time-varying short-horizon predictability

Sam James Henkel

doi:10.1016/j.jfineco.2010.09.008

Time-varying short-horizon predictability

2011-03-01

288

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AI

DOI：10.1016/j.jfineco.2010.09.008

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In the G7 countries, the short-horizon performance of aggregate return predictors such as the dividend yield and the short rate appears non-existent during business cycle expansions but sizable during contractions. This phenomenon appears related to countercyclical risk premiums as well as the time-variation in the dynamics of predictors. Our empirical model outperforms the historical average out-of-sample in the US, but the results throughout the G7 are mixed. (C) 2010 Elsevier B.V. All rights reserved.

Keyword:

Stock return predictability

Asset pricing

Business fluctuations

Financial markets and the macroeconomy

Time-varying short-horizon predictability

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