Financial Investment Opportunities and the Macroeconomy

Journal of Finance - Tập 46 Số 2 - Trang 529-554 - 1991
Nai‐Fu Chen

Tóm tắt

ABSTRACTThis paper studies the relation between changes in financial investment opportunities and changes in the macroeconomy. States variables such as the lagged production growth rate, the default premium, the term premium, the short‐term interest rate and the market dividend‐price ratio are shown to be indicators of recent and future economic growth. Further, the market excess return is negatively correlated with recent economic growth and positively correlated with expected future economic growth. These results offer straightforward interpretations of recent evidence on the forecasts of the market excess return by state variable via their forecasts on the macroeconomy.

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Journal of Finance

Tập 46 Số 2

529-554

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