Advertisement

Global Stock Markets

Expected returns, consumption, and the business cycle

  • Authors
  • Wolfgang¬†Drobetz

Table of contents

  1. Front Matter
    Pages I-XIX
  2. Wolfgang Drobetz
    Pages 1-7
  3. Wolfgang Drobetz
    Pages 9-70
  4. Wolfgang Drobetz
    Pages 71-100
  5. Wolfgang Drobetz
    Pages 305-308
  6. Back Matter
    Pages 309-332

About this book

Introduction

Stock investments have become increasingly international, but only recently a deeper theoretical understanding of the forces influencing global stock market returns has been gained from empirical studies. This is a crucial issue for asset managers in order to control the risks and exposures of global stock portfolios successfully.

Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle: If the time variation in expected returns is rational, driven by shocks to taste or technology, the variation in expected returns should be related to variation in consumption, investment, and savings. Testing both stochastic discount factor models and beta pricing models, the author finds that predictability of stock returns is perfectly consistent with the concept of market efficiency, and stock prices need not follow a random walk.

Keywords

International Financial Market arbitrage asset pricing asset pricing model business business cycle econometrics efficiency equilibrium financial market financial markets modeling portfolio pricing science and technology

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-663-08529-4
  • Copyright Information Gabler Verlag | Springer Fachmedien Wiesbaden GmbH, Wiesbaden 2000
  • Publisher Name Deutscher Universit√§tsverlag, Wiesbaden
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-8244-7272-7
  • Online ISBN 978-3-663-08529-4
  • Buy this book on publisher's site