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Dr. Boriss Siliverstovs

Boriss Siliverstovs (ETH Zurich) - International Stock Return Predictability: On the Role of the United States in Bad and Good Time

Date and Time: March 14th 2016, 10:00 - 11:30 am

Room: A 101 in the Economics Building (Museum)

Abstract

In this paper we document the asymmetric role that the U.S. stock market plays in the international predictability of excess stock returns during recession and expansion periods. Most of the positive evidence accrues during the periods of recessions in the United States. During the expansions there is only a limited evidence supporting the importance of lagged U.S. returns in predictability of stock returns in 10 industrialised countries.

 

About the speaker

Boriss Siliverstovs is senior economist at the KOF Konjunkturforschungsstelle / ETH Zurich, Switzerland. His research area is economic forecasting.

 


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