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Real-time risk pricing over the business cycle: some evidence for the UK

Evans, Kevin Philip and Speight, Alan E. H. 2006. Real-time risk pricing over the business cycle: some evidence for the UK. Journal of Business Finance & Accounting 33 (1-2) , pp. 263-283. 10.1111/j.1468-5957.2006.01356.x

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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.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Uncontrolled Keywords: real-time data; news; arbitrage pricing theory; business cycle dynamics
ISSN: 14685957
Last Modified: 04 Jun 2017 01:48
URI: http://orca.cf.ac.uk/id/eprint/2807

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