頁籤選單縮合
題 名 | Stock Returns and Changes in the Business Cycle |
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作 者 | Chen, Ming-hsiang; | 書刊名 | Asia Pacific Management Review |
卷 期 | 10:5 民94.10 |
頁 次 | 頁321-327 |
分類號 | 563.54 |
關鍵詞 | Production asset pricing model; Business cycle; Stock returns; Taiwan; |
語 文 | 英文(English) |
英文摘要 | This study employs the production asset pricing model of Brock (1982) to examine whether changes in the business cycle can be predicted, and whether there exists a link between stock returns and forecasted changes in the business cycle. The gross domestic product (GDP) and industrial production (IP) are used as the proxies for the business cycle. The predictability of changes in the business cycle and the equilibrium relationship between stock returns and forecasted changes in the business cycle are illustrated by results using IP data in Taiwan over the period from 1972 to 2000. Nonetheless, empirical findings using GDP data show that changes in GDP are not predicable until recent period of time, and moreover, there is no link between stock returns and forecasted changes in GDP. |
本系統中英文摘要資訊取自各篇刊載內容。