Recessions and the stock market

dc.contributor.authorKröncke, Tim
dc.date.accessioned2024-06-04T06:58:49Z
dc.date.available2024-06-04T06:58:49Z
dc.date.issued2022
dc.description.abstractAn 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.
dc.identifier.doi10.1016/j.jmoneco.2022.07.004
dc.identifier.issn0304-3932
dc.identifier.issn1873-1295
dc.identifier.urihttps://irf.fhnw.ch/handle/11654/43464
dc.identifier.urihttps://doi.org/10.26041/fhnw-7429
dc.language.isoen
dc.publisherElsevier
dc.relation.ispartofJournal of Monetary Economics
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.spatialAmsterdam
dc.subject.ddc330 - Wirtschaft
dc.titleRecessions and the stock market
dc.type01A - Beitrag in wissenschaftlicher Zeitschrift
dc.volume131
dspace.entity.typePublication
fhnw.InventedHereNo
fhnw.ReviewTypeAnonymous ex ante peer review of a complete publication
fhnw.affiliation.hochschuleHochschule für Wirtschaft FHNWde_CH
fhnw.affiliation.institutInstitut für Finanzmanagementde_CH
fhnw.openAccessCategoryHybrid
fhnw.pagination61-77
fhnw.publicationStatePublished
relation.isAuthorOfPublicationd6f5a229-8832-4546-b56e-4489af722fc0
relation.isAuthorOfPublication.latestForDiscoveryd6f5a229-8832-4546-b56e-4489af722fc0
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