Recessions and the stock market
Authors
Author (Corporation)
Publication date
2022
Typ of student thesis
Course of study
Collections
Type
01A - Journal article
Editors
Editor (Corporation)
Supervisor
Parent work
Journal of Monetary Economics
Special issue
DOI of the original publication
Link
Series
Series number
Volume
131
Issue / Number
Pages / Duration
61-77
Patent number
Publisher / Publishing institution
Elsevier
Place of publication / Event location
Amsterdam
Edition
Version
Programming language
Assignee
Practice partner / Client
Abstract
An event study approach is adopted to investigate the drivers of the stock market around recessions. First, stock prices and dividends drop contemporaneously when accounting for different timing conventions. Accordingly, stock prices do not anticipate recessions due to an economic mechanism (cash flow news). Second, the variance of price changes increases at least as much as the variance of dividend growth during recessions. This result suggests that changes in the price of risk (discount rate news) play an essential role. Implications and opportunities for standard asset pricing theories and recently proposed alternatives are also discussed.
Keywords
Subject (DDC)
330 - Wirtschaft
Event
Exhibition start date
Exhibition end date
Conference start date
Conference end date
Date of the last check
ISBN
ISSN
0304-3932
1873-1295
1873-1295
Language
English
Created during FHNW affiliation
No
Strategic action fields FHNW
Publication status
Published
Review
Peer review of the complete publication
Open access category
Hybrid
Citation
KRÖNCKE, Tim, 2022. Recessions and the stock market. Journal of Monetary Economics. 2022. Bd. 131, S. 61–77. DOI 10.1016/j.jmoneco.2022.07.004. Verfügbar unter: https://doi.org/10.26041/fhnw-7429