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| Tekijä: | Avramov, D. Chordia, T. |
| Otsikko: | Predicting stock returns |
| Lehti: | Journal of Financial Economics
2006 : NOV, VOL. 82:2, p. 387-415 |
| Asiasana: | business cycles equities estimation risk stock returns |
| Kieli: | eng |
| Tiivistelmä: | This article studies whether incorporating business cycle predictors benefits a real time optimizing investor who most allocate funds across 3123 NYSE-AMEX stocks and cash. Realized returns are positive when adjusted by the Fama-French and momentum factors as well as by the size, book-to-market, and past return characteristics. The investor optimally holds small-cap, growth, and momentum stocks and loads less (more) heavily on momentum (small-cap) stocks during recessions. |
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