دانلود مقاله ISI انگلیسی شماره 79845
ترجمه فارسی عنوان مقاله

رشد اقتصادی پایان سال و بازده مورد انتظار متغیر با زمان

عنوان انگلیسی
End-of-the-year economic growth and time-varying expected returns ☆
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
79845 2015 19 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Financial Economics, Volume 115, Issue 1, January 2015, Pages 136–154

ترجمه کلمات کلیدی
رشد اقتصادی پایان سال (سه ماهه چهارم) ؛ بازده مورد انتظار؛ نسبت مصرف مازاد؛ ضریب اطمینان مصرف کننده
کلمات کلیدی انگلیسی
E44; G12; G14End-of-the-year (fourth quarter) economic growth; Expected returns; Surplus consumption ratio; Consumer confidence
پیش نمایش مقاله
پیش نمایش مقاله  رشد اقتصادی پایان سال و بازده مورد انتظار متغیر با زمان

چکیده انگلیسی

We show that macroeconomic growth at the end of the year (fourth quarter or December) strongly influences expected returns on risky financial assets, whereas economic growth during the rest of the year does not. We find this pattern for many different asset classes, across different time periods, and for US and international data. We also show that movements in the surplus consumption ratio of Campbell and Cochrane (1999), a theoretically well-founded measure of time-varying risk aversion linked to macroeconomic growth, influence expected returns stronger during the fourth quarter than the other quarters of the year. Our findings suggest that expected returns, risk aversion, and economic growth are particularly related at the end of the year, when we also expect consumers׳ portfolio adjustments to be concentrated.