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dc.contributor.authorWen, Yi-Chieh
dc.contributor.authorLi, Bin
dc.date.accessioned2020-09-08T00:57:00Z
dc.date.available2020-09-08T00:57:00Z
dc.date.issued2020
dc.identifier.issn0003-6846
dc.identifier.doi10.1080/00036846.2020.1752899
dc.identifier.urihttp://hdl.handle.net/10072/397157
dc.description.abstractThis study examines stock return predictability in business cycle fluctuations across 17 developed countries and 26 developing countries over the period from January 1970 to December 2019. We uncover that lagged U.S. returns can be regarded as a reliable predictor only during recessions. The results remain robust after controlling for commonly used return predictors. Our empirical findings carry some implications for the role of leading markets, fundamental uncertainty, change in investors’ beliefs and dynamics of stock return volatility in economic downturns.
dc.description.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.publisherRoutledge: Taylor & Francis Group
dc.relation.ispartofpagefrom5005
dc.relation.ispartofpageto5019
dc.relation.ispartofissue46
dc.relation.ispartofjournalApplied Economics
dc.relation.ispartofvolume52
dc.subject.fieldofresearchApplied economics
dc.subject.fieldofresearchEconometrics
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchcode3801
dc.subject.fieldofresearchcode3802
dc.subject.fieldofresearchcode3502
dc.subject.keywordsSocial Sciences
dc.subject.keywordsBusiness & Economics
dc.subject.keywordsReturn predictability
dc.subject.keywordsrecession
dc.titleLagged country returns and international stock return predictability during business cycle recession periods
dc.typeJournal article
dc.type.descriptionC1 - Articles
dcterms.bibliographicCitationWen, Y-C; Li, B, Lagged country returns and international stock return predictability during business cycle recession periods, Applied Economics, 2020, 52 (46), pp. 5005-5019
dc.date.updated2020-09-07T23:06:40Z
dc.description.versionAccepted Manuscript (AM)
gro.rights.copyrightThis is an Author's Accepted Manuscript of an article published in Applied Economics, 52 (46), pp. 5005-5019, 28 Apr 2020, copyright Taylor & Francis, available online at: https://doi.org/10.1080/00036846.2020.1752899
gro.hasfulltextFull Text
gro.griffith.authorLi, Bin


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