search query: @indexterm BUSINESS CYCLES / total: 529
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| Author: | Eleswarapu, V. R. Tiwari, A. |
| Title: | Business cycles and stock market returns |
| Journal: | Journal of Financial Research
1996 : SPRING, VOL. 19:1, p. 121-134 |
| Index terms: | BUSINESS CYCLES STOCK MARKETS RETURN ON INVESTMENT |
| Language: | eng |
| Abstract: | Much evidence has emerged recently that suggests stock returns are predictable. In representative agent consumption-based asset pricing models, asset returns are related to aggregate output and consumption through changes in the intemporal marginal rate of substitution. An alternative view is that the amount of variation required in the intemporal marginal rate of substitution is too large to be rationally explained. We shed further light on this debate by investigating whether the stock returns of certain sectors of the economy can predict future market returns even after controlling for the information contained in the aggregate market index. |
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