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Credit conditions and stock return predictability

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  • Chava, Sudheer
  • Gallmeyer, Michael
  • Park, Heungju

Abstract

U.S. stock return predictability is analyzed using a measure of credit standards (Standards) derived from the Federal Reserve Board׳s Senior Loan Officer Opinion Survey on Bank Lending Practices. Standards is a strong predictor of stock returns at a business cycle frequency, especially in the post-1990 data period. Empirically, a tightening of Standards predicts lower future stock returns. Standards performs well both in-sample and out-of-sample and is robust to a host of consistency checks. Standards captures stock return predictability at a business cycle frequency and is driven primarily by the ability of Standards to predict cash flow news.

Suggested Citation

  • Chava, Sudheer & Gallmeyer, Michael & Park, Heungju, 2015. "Credit conditions and stock return predictability," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 117-132.
  • Handle: RePEc:eee:moneco:v:74:y:2015:i:c:p:117-132
    DOI: 10.1016/j.jmoneco.2015.06.004
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