Asymmetric Business Cycle Effects on US Sectoral Stock Returns
نویسندگان
چکیده
منابع مشابه
The asymmetric effect of the business cycle on the relation between stock market returns and their volatility
We examine the relation between US stock market returns and the US business cycle for the period 1960 2003. We identify two channels in the transmission mechanism. One is through the mean of stock returns via the equity risk premium, and the other is through the volatility of returns. We find that the relation is asymmetric with downturns in the business cycle having a greater negative impact o...
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ژورنال
عنوان ژورنال: International Journal of Economics & Management Sciences
سال: 2015
ISSN: 2162-6359
DOI: 10.4172/2162-6359.1000289