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Consumer confidence or the business cycle: What matters more for European expected returns?

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  • Møller, Stig V.
  • Nørholm, Henrik
  • Rangvid, Jesper

Abstract

Answer: The business cycle.

Suggested Citation

  • Møller, Stig V. & Nørholm, Henrik & Rangvid, Jesper, 2014. "Consumer confidence or the business cycle: What matters more for European expected returns?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 230-248.
    • Handle: RePEc:eee:empfin:v:28:y:2014:i:c:p:230-248
    DOI: 10.1016/j.jempfin.2014.07.004
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    Cited by:

    1. Wang, Wenzhao & Su, Chen & Duxbury, Darren, 2021. "Investor sentiment and stock returns: Global evidence," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 365-391.
    2. Rakovská, Zuzana, 2021. "Composite survey sentiment as a predictor of future market returns: Evidence for German equity indices," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 473-495.
    3. Stephen Bruestle & W. Mark Crain, 2015. "A mean-variance approach to forecasting with the consumer confidence index," Applied Economics, Taylor & Francis Journals, vol. 47(23), pages 2430-2444, May.
    4. Keiber, Karl Ludwig & Samyschew, Helene, 2016. "The pricing of sentiment risk in European stock markets," Discussion Papers 384, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
    5. Narayan, Seema & Smyth, Russell, 2015. "The financial econometrics of price discovery and predictability," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 380-393.
    6. Atanasov, Victoria, 2018. "World output gap and global stock returns," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 181-197.

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    More about this item

    Keywords

    Time-varying expected returns; Business cycle risk; Output gap; Consumer confidence; Bootstrap; GMM;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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