{"title":"英国股票回报:可预测性和商业环境","authors":"Angela J. Black, P. Fraser","doi":"10.1111/J.1467-9957.1995.TB01450.X","DOIUrl":null,"url":null,"abstract":"This paper examines the hypothesis that predictable variation in excess returns can be explained by future business conditions. Using GARCH-M methodology and data on U.K. share returns over the period 1965-92, the authors find that excess returns are able to capture expectations regarding the future state of the economy. Futher, 'news' on future business conditions in the economy would appear to be related to the observed persistence in the conditional variance of excess returns. Copyright 1995 by Blackwell Publishers Ltd and The Victoria University of Manchester","PeriodicalId":83172,"journal":{"name":"The Manchester school of economic and social studies","volume":"1 1","pages":"85-102"},"PeriodicalIF":0.0000,"publicationDate":"2010-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"28","resultStr":"{\"title\":\"U.K. STOCK RETURNS: PREDICTABILITY AND BUSINESS CONDITIONS\",\"authors\":\"Angela J. Black, P. Fraser\",\"doi\":\"10.1111/J.1467-9957.1995.TB01450.X\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper examines the hypothesis that predictable variation in excess returns can be explained by future business conditions. Using GARCH-M methodology and data on U.K. share returns over the period 1965-92, the authors find that excess returns are able to capture expectations regarding the future state of the economy. Futher, 'news' on future business conditions in the economy would appear to be related to the observed persistence in the conditional variance of excess returns. Copyright 1995 by Blackwell Publishers Ltd and The Victoria University of Manchester\",\"PeriodicalId\":83172,\"journal\":{\"name\":\"The Manchester school of economic and social studies\",\"volume\":\"1 1\",\"pages\":\"85-102\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2010-09-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"28\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"The Manchester school of economic and social studies\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1111/J.1467-9957.1995.TB01450.X\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"The Manchester school of economic and social studies","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1111/J.1467-9957.1995.TB01450.X","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
U.K. STOCK RETURNS: PREDICTABILITY AND BUSINESS CONDITIONS
This paper examines the hypothesis that predictable variation in excess returns can be explained by future business conditions. Using GARCH-M methodology and data on U.K. share returns over the period 1965-92, the authors find that excess returns are able to capture expectations regarding the future state of the economy. Futher, 'news' on future business conditions in the economy would appear to be related to the observed persistence in the conditional variance of excess returns. Copyright 1995 by Blackwell Publishers Ltd and The Victoria University of Manchester
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