메뉴 건너뛰기




Volumn 19, Issue 1, 1996, Pages 121-134

Business cycles and stock market returns: Evidence using industry-based portfolios

Author keywords

[No Author keywords available]

Indexed keywords


EID: 33846532568     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/j.1475-6803.1996.tb00588.x     Document Type: Article
Times cited : (8)

References (21)
  • 1
    • 84977713178 scopus 로고
    • Predicting stock returns in an efficient market
    • Balvers, R. J., T. F. Cosimano, and B. McDonald, 1990, Predicting stock returns in an efficient market, Journal of Finance 45, 1109–28.
    • (1990) Journal of Finance , vol.45 , pp. 1109-1128
    • Balvers, R.J.1    Cosimano, T.F.2    McDonald, B.3
  • 3
    • 0000007521 scopus 로고
    • The dividend price ratio and expectations of future dividends and discount factors
    • Campbell, J. Y. and R. Shiller, 1988, The dividend price ratio and expectations of future dividends and discount factors, Review of Financial Studies 1, 195–228.
    • (1988) Review of Financial Studies , vol.1 , pp. 195-228
    • Campbell, J.Y.1    Shiller, R.2
  • 4
    • 84977738382 scopus 로고
    • Financial investment opportunities and the macroeconomy
    • Chen, N. F., 1991, Financial investment opportunities and the macroeconomy, Journal of Finance 46, 529–54.
    • (1991) Journal of Finance , vol.46 , pp. 529-554
    • Chen, N.F.1
  • 5
    • 0002344794 scopus 로고
    • Bootstrap methods: Another look at the jackknife
    • Efron, B., 1979, Bootstrap methods: Another look at the jackknife, The Annals of Statistics 7, 1–26.
    • (1979) The Annals of Statistics , vol.7 , pp. 1-26
    • Efron, B.1
  • 6
    • 84993912194 scopus 로고
    • Expected returns, time-varying risk and risk premia
    • Evans, M. D. D., 1994, Expected returns, time-varying risk and risk premia, Journal of Finance 49, 655–79.
    • (1994) Journal of Finance , vol.49 , pp. 655-679
    • Evans, M.D.D.1
  • 7
    • 84936823605 scopus 로고
    • Permanent and temporary components of stock prices
    • Fama, E. F. and K. R. French, 1988, Permanent and temporary components of stock prices, Journal of Political Economy 96, 246–73.
    • (1988) Journal of Political Economy , vol.96 , pp. 246-273
    • Fama, E.F.1    French, K.R.2
  • 8
    • 34250890715 scopus 로고
    • Business conditions and expected returns on stocks and bonds
    • Fama, E. F. and K. R. French, 1989, Business conditions and expected returns on stocks and bonds, Journal of Financial Economics 25, 23–49.
    • (1989) Journal of Financial Economics , vol.25 , pp. 23-49
    • Fama, E.F.1    French, K.R.2
  • 11
    • 0000789996 scopus 로고
    • Dividend yields and expected stock returns: Alternative procedures for inference and measurement
    • Hodrick, R. P., 1992, Dividend yields and expected stock returns: Alternative procedures for inference and measurement, Review of Financial Studies 5, 357–86.
    • (1992) Review of Financial Studies , vol.5 , pp. 357-386
    • Hodrick, R.P.1
  • 13
    • 84977728314 scopus 로고
    • Seasonality in stock price mean reversion: Evidence from the U.S. and the U.K
    • Jegadeesh, N., 1991, Seasonality in stock price mean reversion: Evidence from the U.S. and the U.K., Journal of Finance 46, 1427–44.
    • (1991) Journal of Finance , vol.46 , pp. 1427-1444
    • Jegadeesh, N.1
  • 14
    • 46149129689 scopus 로고
    • Predicting returns in the stock and bond markets
    • Keim, D. B. and R. F. Stambaugh, 1986, Predicting returns in the stock and bond markets, Journal of Financial Economics 17, 357–90.
    • (1986) Journal of Financial Economics , vol.17 , pp. 357-390
    • Keim, D.B.1    Stambaugh, R.F.2
  • 15
    • 84959822288 scopus 로고
    • Mean reversal in stock prices? A reappraisal of the empirical evidence
    • Kim, M. J., C. Nelson, and R. Startz, 1991, Mean reversal in stock prices? A reappraisal of the empirical evidence, Review of Economic Studies 58, 515–28.
    • (1991) Review of Economic Studies , vol.58 , pp. 515-528
    • Kim, M.J.1    Nelson, C.2    Startz, R.3
  • 17
    • 0000150312 scopus 로고
    • Asset prices in an exchange economy
    • Lucas, R. E. Jr., 1978, Asset prices in an exchange economy, Econometrica 46, 1429–45.
    • (1978) Econometrica , vol.46 , pp. 1429-1445
    • Lucas, R.E.1
  • 18
    • 0000706085 scopus 로고
    • A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, W. and K. D. West, 1987, A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703–8.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.1    West, K.D.2
  • 19
    • 0002158052 scopus 로고
    • Mean reversion in stock prices: Evidence and implications
    • Poterba, J. M. and L. H. Summers, 1988, Mean reversion in stock prices: Evidence and implications, Journal of Financial Economics 22, 27–60.
    • (1988) Journal of Financial Economics , vol.22 , pp. 27-60
    • Poterba, J.M.1    Summers, L.H.2
  • 20
    • 21144470684 scopus 로고
    • Temporary components of stock prices: A skeptic's view
    • Richardson, M., 1993, Temporary components of stock prices: A skeptic's view, Journal of Business and Economic Statistics 11, 199–207.
    • (1993) Journal of Business and Economic Statistics , vol.11 , pp. 199-207
    • Richardson, M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.