Financial Investment Opportunities and the Macroeconomy
研究金融投资机会变化与宏观经济变化的关系，发现滞后生产增长率、违约溢价、期限溢价、短期利率和市场股息价格比等状态变量能指示近期和未来的经济增长，且市场超额收益与近期经济增长负相关、与预期未来经济增长正相关。
ABSTRACT This paper studies the relation between changes in financial investment opportunities and changes in the macroeconomy. States variables such as the lagged production growth rate, the default premium, the term premium, the short‐term interest rate and the market dividend‐price ratio are shown to be indicators of recent and future economic growth. Further, the market excess return is negatively correlated with recent economic growth and positively correlated with expected future economic growth. These results offer straightforward interpretations of recent evidence on the forecasts of the market excess return by state variable via their forecasts on the macroeconomy.