Late to Recessions: Stocks and the Business Cycle
研究发现，衰退开始后的几个月内股票回报可预测为负，之后才变高。通过识别商业周期转折点，发现衰退期收益呈现动量，而扩张期则出现温和反转。利用这一模式的策略能产生正阿尔法，且分析师预测数据表明投资者对衰退反应缓慢。
ABSTRACT I find that returns are predictably negative for several months after the onset of recessions, becoming high only thereafter. I identify business cycle turning points by estimating a state‐space model using macroeconomic data. Conditioning on the business cycle further reveals that returns exhibit momentum in recessions, whereas in expansions they display the mild reversals expected from discount rate changes. A strategy exploiting this pattern produces positive alphas. Using analyst forecast data, I show that my findings are consistent with investors' slow reaction to recessions. When expected returns are negative, analysts are too optimistic and their downward expectation revisions are exceptionally high.