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首页> 外文期刊>Journal of financial economics >End-of-the-year economic growth and time-varying expected returns
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End-of-the-year economic growth and time-varying expected returns

机译：年终经济增长和时变预期收益

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摘要

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.
机译：我们表明，年底（第四季度或十二月）的宏观经济增长强烈影响风险金融资产的预期收益，而今年剩余时间的经济增长则不会。我们发现这种模式适用于许多不同的资产类别，不同的时间段以及美国和国际数据。我们还表明，Campbell和Cochrane（1999）的过剩消费比率的变动是理论上有充分根据的，与宏观经济增长相关的时变风险规避的度量，对第四季度的预期收益的影响要大于该年度的其他季度。 。我们的研究结果表明，预期回报，风险规避和经济增长在年底特别相关，而我们也预计消费者的投资组合调整将集中。

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