Informace o publikaci

A Tale of Tails: New Evidence on the Growth-Return Nexus

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LYÓCSA Štefan VÝROST Tomáš PLÍHAL Tomáš

Rok publikování 2021
Druh Článek v odborném periodiku
Časopis / Zdroj Finance Research Letters
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Citace
www https://www.sciencedirect.com/science/article/pii/S1544612319310347#!
Doi http://dx.doi.org/10.1016/j.frl.2020.101526
Klíčová slova Economic activity; Stock market; Quantile dependence; Cross-quantilogram; Term spread;
Přiložené soubory
Popis Existing theoretical models predict that asset prices should be strongly related to economic fundamentals. Yet empirical studies usually find a weak correlation. We find that the stock market declines tend to be followed by slower economic growth within two-to-four quarters. However, the relationship is not linear as it tends to be weaker when market prices increase. This result holds for most of 20, mostly developed, countries in our sample. Controlling for the development in interest rates does not change our conclusions. Therefore, we provide new evidence that economic fundamentals and stock prices are related in quantiles.

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