It is often claimed that stock prices are determined on the basis of some key macroeconomic indicators. Presumably, stock market movements reflect positions taken by market participants based on their assessment about the current state of the economy. Given the forward-looking behaviour of OECD Composite Leading Indicator which identifies business cycle phase, this paper explores the possibility of improving risk-adjusted returns of portfolio of US stocks. Using portfolios which are composed only of US stocks we show that asset weights should be modified to accommodate cyclical shifts in the economy if return/risk efficiency is to be maintained over the full cycle. Monthly data applied were from March 1955 to May 2011.
Dzikevičius, A., & Vetrov, J. (2012). Stock market analysis through business cycle approach. Business: Theory and Practice, 13(1), 36-42. https://doi.org/10.3846/btp.2012.04
Authors who publish with this journal agree to the following terms
that this article contains no violation of any existing copyright or other third party right or any material of a libelous, confidential, or otherwise unlawful nature, and that I will indemnify and keep indemnified the Editor and THE PUBLISHER against all claims and expenses (including legal costs and expenses) arising from any breach of this warranty and the other warranties on my behalf in this agreement;
that I have obtained permission for and acknowledged the source of any illustrations, diagrams or other material included in the article of which I am not the copyright owner.
on behalf of any co-authors, I agree to this work being published in Creativity Studies as Open Access, and licenced under a Creative Commons Licence, 4.0 https://creativecommons.org/licenses/by/4.0/legalcode. This licence allows for the fullest distribution and re-use of the work for the benefit of scholarly information.
For authors that are not copyright owners in the work (for example government employees), please contact VILNIUS TECH to make alternative agreements.
