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The Four Phases Framework

  • Henrik Lumholdt
Chapter

Abstract

In the previous chapter, we demonstrated the importance of the business cycle and argued in favor of understanding it in terms of the output gap. But we said only a little about asset class returns over the cycle. This is where macro meets the markets and is the focus of this chapter.

References

  1. Biswas, A. 2014. “The Output Gap and Expected Security Returns”, Review of Financial Economics, 23(3), 131–140.CrossRefGoogle Scholar
  2. Cooper, I., and R. Priestley. 2009. “Time-Varying Risk Premiums and the Output Gap”, Review of Financial Studies, 22, 2801–2833.CrossRefGoogle Scholar
  3. Ilmanen, A. 2003. “Stock-bond correlations”, Journal of Fixed Income 13(2), 55–66.CrossRefGoogle Scholar
  4. Ilmanen, Antti., Thomas Maloney and Adrienne Ross. 2014. “Exploring Macroeconomic Sensitivities: How Investments Respond to Different Economic Environments”, The Journal of Portfolio Management, 40(3), Spring.Google Scholar
  5. Sheikh, A., and J. Sun. 2012. “Regime Change: Implications of Macroeconomic Shifts on Asset Class and Portfolio Performance”, The Journal of Investing, 21(3), 36–54.CrossRefGoogle Scholar

Copyright information

© The Author(s) 2018

Authors and Affiliations

  • Henrik Lumholdt
    • 1
  1. 1.Instituto de Empresa Business SchoolMadridSpain

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