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| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | International evidence for return predictability and the implications for long-run covariation of the G7 stock markets |
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| Institution | University of Zurich |
| Series Name | Working paper series / Institute for Empirical Research in Economics |
| Number | No. 338 |
| ISSN | 1424-0459 |
| Date | 2007 |
| Abstract Text | Temporary fluctuations of the U.S. consumption-wealth ratio, cay, predict excess returns onninternational stock markets at the business cycle frequency. This finding is the reflection of a common, temporary component in national stock markets. Exposure to this common component explains up to 60 percent of the covariation among long-horizon returns on the G7nstock markets for the time period from 1973 to 2005. The impact of the common componentnon stock market comovement is particularly pronounced in the period from 1990 to 2005. |
| Official URL | http://www.econ.uzh.ch/wp.html |
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