Matches in SemOpenAlex for { <https://semopenalex.org/work/W1527992013> ?p ?o ?g. }
Showing items 1 to 100 of
100
with 100 items per page.
- W1527992013 abstract "There has been much interest in recent years in the ex ante equity risk premium. Empirical studies indicate that it is possible for the ex ante equity risk premium to be negative and that it is related to an inverted yield curve of government bonds. This finding holds for the U.S. marketplace and for large foreign economies. Additionally, smaller countries have negative risk premiums in periods preceded by inverted U.S. yield curves. However, it remains an empirical question whether investors can form profitable trading strategies based on the relationship between the equity risk premium and the yield curve. The present study extends recent probit modeling by Estrella and Mishkin (1996, 1998) for forecasting an economic recession. Specifically, we use the yield curve spread to forecast a bear stock market (negative ex ante market risk premium) in the U.S and eight major foreign stock markets. In general, it is found that the U.S. yield spread contains more important market timing information than does the home country yield spread for profitable market timing. The findings hold from the perspective of the local currency investor and the U.S. dollar investor investing in foreign stock markets. Overall our results support the possibility of a negative ex ante risk premium." @default.
- W1527992013 created "2016-06-24" @default.
- W1527992013 creator A5068711138 @default.
- W1527992013 creator A5081471993 @default.
- W1527992013 creator A5091023128 @default.
- W1527992013 date "2002-01-01" @default.
- W1527992013 modified "2023-09-23" @default.
- W1527992013 title "Market Timing of International Stock Markets using the Yield Spread" @default.
- W1527992013 cites W1484568709 @default.
- W1527992013 cites W1498480980 @default.
- W1527992013 cites W1509744275 @default.
- W1527992013 cites W1559440301 @default.
- W1527992013 cites W1824650169 @default.
- W1527992013 cites W1903971093 @default.
- W1527992013 cites W1922475389 @default.
- W1527992013 cites W1965770021 @default.
- W1527992013 cites W1968570743 @default.
- W1527992013 cites W1974274164 @default.
- W1527992013 cites W1986430490 @default.
- W1527992013 cites W2011619605 @default.
- W1527992013 cites W2015800048 @default.
- W1527992013 cites W2016116986 @default.
- W1527992013 cites W2016345914 @default.
- W1527992013 cites W2017531167 @default.
- W1527992013 cites W2023379545 @default.
- W1527992013 cites W2027752836 @default.
- W1527992013 cites W2028738662 @default.
- W1527992013 cites W2030007814 @default.
- W1527992013 cites W2085298969 @default.
- W1527992013 cites W2094659867 @default.
- W1527992013 cites W2128475248 @default.
- W1527992013 cites W2155173778 @default.
- W1527992013 cites W2163878682 @default.
- W1527992013 cites W2180014883 @default.
- W1527992013 cites W3093578674 @default.
- W1527992013 cites W3123355694 @default.
- W1527992013 cites W3123704867 @default.
- W1527992013 cites W3125396854 @default.
- W1527992013 cites W3125443726 @default.
- W1527992013 cites W3125658893 @default.
- W1527992013 cites W2068492978 @default.
- W1527992013 doi "https://doi.org/10.2139/ssrn.314867" @default.
- W1527992013 hasPublicationYear "2002" @default.
- W1527992013 type Work @default.
- W1527992013 sameAs 1527992013 @default.
- W1527992013 citedByCount "4" @default.
- W1527992013 countsByYear W15279920132013 @default.
- W1527992013 crossrefType "journal-article" @default.
- W1527992013 hasAuthorship W1527992013A5068711138 @default.
- W1527992013 hasAuthorship W1527992013A5081471993 @default.
- W1527992013 hasAuthorship W1527992013A5091023128 @default.
- W1527992013 hasConcept C10138342 @default.
- W1527992013 hasConcept C106159729 @default.
- W1527992013 hasConcept C134121241 @default.
- W1527992013 hasConcept C144133560 @default.
- W1527992013 hasConcept C162324750 @default.
- W1527992013 hasConcept C165029466 @default.
- W1527992013 hasConcept C166957645 @default.
- W1527992013 hasConcept C178350159 @default.
- W1527992013 hasConcept C191897082 @default.
- W1527992013 hasConcept C192562407 @default.
- W1527992013 hasConcept C204036174 @default.
- W1527992013 hasConcept C205649164 @default.
- W1527992013 hasConcept C2779343474 @default.
- W1527992013 hasConcept C2780299701 @default.
- W1527992013 hasConcept C556758197 @default.
- W1527992013 hasConcept C73283319 @default.
- W1527992013 hasConceptScore W1527992013C10138342 @default.
- W1527992013 hasConceptScore W1527992013C106159729 @default.
- W1527992013 hasConceptScore W1527992013C134121241 @default.
- W1527992013 hasConceptScore W1527992013C144133560 @default.
- W1527992013 hasConceptScore W1527992013C162324750 @default.
- W1527992013 hasConceptScore W1527992013C165029466 @default.
- W1527992013 hasConceptScore W1527992013C166957645 @default.
- W1527992013 hasConceptScore W1527992013C178350159 @default.
- W1527992013 hasConceptScore W1527992013C191897082 @default.
- W1527992013 hasConceptScore W1527992013C192562407 @default.
- W1527992013 hasConceptScore W1527992013C204036174 @default.
- W1527992013 hasConceptScore W1527992013C205649164 @default.
- W1527992013 hasConceptScore W1527992013C2779343474 @default.
- W1527992013 hasConceptScore W1527992013C2780299701 @default.
- W1527992013 hasConceptScore W1527992013C556758197 @default.
- W1527992013 hasConceptScore W1527992013C73283319 @default.
- W1527992013 hasLocation W15279920131 @default.
- W1527992013 hasOpenAccess W1527992013 @default.
- W1527992013 hasPrimaryLocation W15279920131 @default.
- W1527992013 hasRelatedWork W1582019588 @default.
- W1527992013 hasRelatedWork W1582962718 @default.
- W1527992013 hasRelatedWork W1964151677 @default.
- W1527992013 hasRelatedWork W1964819758 @default.
- W1527992013 hasRelatedWork W1977497738 @default.
- W1527992013 hasRelatedWork W1988513709 @default.
- W1527992013 hasRelatedWork W2009839884 @default.
- W1527992013 hasRelatedWork W2611688485 @default.
- W1527992013 hasRelatedWork W3121729327 @default.
- W1527992013 hasRelatedWork W3123252625 @default.
- W1527992013 isParatext "false" @default.
- W1527992013 isRetracted "false" @default.
- W1527992013 magId "1527992013" @default.
- W1527992013 workType "article" @default.