Time-Varying Risk Premiums and the Output Gap
发现产出缺口（一种基于生产的宏观经济变量）能有效预测美国股票回报，且预测能力在样本内外均稳健，对G7国家股票和美国债券回报也有预测力。
The output gap, a production-based macroeconomic variable, is a strong predictor of U.S. stock returns. It is a prime business cycle indicator that does not include the level of market prices, thus removing any suspicion that returns are forecastable due to a “fad” in prices being washed away. The output gap forecasts returns both in-sample and out-of-sample, and it is robust to a host of checks. We show that the output gap also has predictive power for excess stock returns in other G7 countries and U.S. excess bond returns.