Real-Time Risk Pricing Over the Business Cycle: Some Evidence for the UK
21 Pages Posted: 15 Apr 2006
Abstract
The fully-revised data typically utilized in empirical research do not reflect the true information available to financial market participants at the time of their decision-making. This paper uses a new real-time macroeconomic dataset to appraise the relative importance of different vintages of data on economic variables as determinants of UK stock returns using the framework of Arbitrage Pricing Theory. We find that two factors influence expected stock returns, namely unanticipated inflation and economic uncertainty, but only when measured in real-time. Moreover, their pricing influence is only present during phases of the business cycle when their associated risks are at their most prevalent.
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Real-Time Risk Pricing Over the Business Cycle: Some Evidence for the UK
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: jbfa.pdf
Size: 167K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
