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Global stock markets : expected returns, consumption, and the business cycle /

Stock investments have become increasingly international, but only recently a deeper theoretical understanding of the forces influencing global stock market returns has been gained from empirical studies. This is a crucial issue for asset managers in order to control the risks and exposures of globa...

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Bibliographic Details
Main Author: Drobetz, Wolfgang
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Wiesbaden : Deutscher Universitäts-Verlag, 2000.
Series:Gabler Edition Wissenschaft.
Subjects:
Stock exchanges.
Stock price forecasting.
Assets (Accounting) > Prices > Forecasting.
Business cycles.
Internationaler Kapitalmarkt > Kapitalmarkttheorie.
Kapitalmarkttheorie > Internationaler Kapitalmarkt.
Electronic books.
Online Access:Connect to the full text of this electronic book
Description
Summary:Stock investments have become increasingly international, but only recently a deeper theoretical understanding of the forces influencing global stock market returns has been gained from empirical studies. This is a crucial issue for asset managers in order to control the risks and exposures of global stock portfolios successfully. Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle: If the time variation in expected returns is rational, driven by shocks to taste or technology, the variation in expected returns should be related to variation in consumption, investment, and savings. Testing both stochastic discount factor models and beta pricing models, the author finds that predictability of stock returns is perfectly consistent with the concept of market efficiency, and stock prices need not follow a random walk.
Item Description:Originally presented as the author's thesis (Ph. D.--Universität St. Gallen, 2000).
Electronic resource.
Physical Description:1 online resource (xix, 332 pages) : illustrations.
Format:Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Bibliography:Includes bibliographical references (pages 309-332).
ISBN:9783663085294 (electronic bk.)
3663085295 (electronic bk.)