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

P.N. Smith; Steffen Sorensen; Michael Wickens

doi:10.1002/ijfe.395

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

P.N. Smith, Steffen Sorensen, Michael Wickens

Economics

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	134-152
Number of pages	19
Journal	International Journal of Finance and Economics
Volume	15
Issue number	2
DOIs	https://doi.org/10.1002/ijfe.395
Publication status	Published - Apr 2010

Keywords

Equity returns
risk premium
asymmetry
STOCK RETURNS
VOLATILITY
RISK
TIME

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10.1002/ijfe.395

http://www3.interscience.wiley.com/journal/122386838/abstract

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

Abstract

Keywords

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