Journal article
Predicting Stock Returns in an Efficient Market
Abstract
ABSTRACT An intertemporal general equilibrium model relates financial asset returns to movements in aggregate output. The model is a standard neoclassical growth model with serial correlation in aggregate output. Changes in aggregate output lead to attempts by agents to smooth consumption, which affects the required rate of return on financial assets. Since aggregate output is serially correlated and hence predictable, the theory suggests that …
Authors
BALVERS RJ; COSIMANO TF; MCDONALD B
Journal
The Journal of Finance, Vol. 45, No. 4, pp. 1109–1128
Publisher
Wiley
Publication Date
September 1990
DOI
10.1111/j.1540-6261.1990.tb02429.x
ISSN
0022-1082