Resurrecting some form of CAPM?

We find that procyclical stocks, whose returns comove with business cycles, earn higher average returns than countercyclical stocks. We use almost a three-quarter century of real GDP growth expectations from economists’ surveys to determine forecasted economic states. This approach largely avoids the confounding effects of econometric forecasting model error. The loading on the expected real […] The post Resurrecting some form of CAPM? appeared first on Marginal REVOLUTION.