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The equity premium and the business cycle: the role of demand and supply shocks

Smith, Peter N., Sorensen, Steffen and Wickens, Michael 2009. The equity premium and the business cycle: the role of demand and supply shocks. International Journal of Finance & Economics 15 (2) , pp. 134-152. 10.1002/ijfe.395

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Abstract

This paper explores the effects of the US business cycle on US stock market returns through an analysis of the equity risk premium. We propose a new methodology based on the SDF approach to asset pricing that allows us to uncover the different effects of aggregate demand and supply shocks. We find that negative shocks are more important that positive shocks, and that supply shocks have a much greater impact than demand shocks.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HB Economic Theory
H Social Sciences > HD Industries. Land use. Labor
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
H Social Sciences > HF Commerce
H Social Sciences > HG Finance
Uncontrolled Keywords: Equity returns ; Risk premium ; Asymmetry
Publisher: Wiley Blackwell
ISSN: 1076-9307
Last Modified: 04 Jun 2017 03:28
URI: http://orca-mwe.cf.ac.uk/id/eprint/21808

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