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The equity premium and the business cycle: the role of demand and supply shocks

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JournalInternational Journal of Finance and Economics
DatePublished - Apr 2010
Issue number2
Volume15
Number of pages19
Pages (from-to)134-152
Original languageEnglish

Abstract

This paper explores the effects of the US business cycle on US stock market returns through an analysis of the equity risk premium. We propose a new methodology based on the SEW approach to asset pricing that allows us to uncover the different effects of aggregate demand and supply shocks. We find that negative shocks are more important that positive shocks, and that supply shocks have a much greater impact than demand shocks. Copyright (c) 2009 John Wiley & Sons, Ltd.

    Research areas

  • Equity returns, risk premium, asymmetry, STOCK RETURNS, VOLATILITY, RISK, TIME

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