Business conditions and speculative assets

Angela J Black, Patricia Fraser, R Macdonald

Research output: Contribution to journalArticlepeer-review

10 Citations (Scopus)


In this paper we examine the hypothesis that the predictable components of U.K. shares and bonds are related to business conditions. Financial market variables, such as maturity and default premia, are constructed in an attempt to capture different components of business-conditions risk. The hypothesis is investigated using multivariate regression analysis and a latent variable model. One of the main conclusions reached in this paper is that the time-varying component of U.K. share and bond excess returns tends to exhibit varying degrees of sensitivity to information on business conditions as captured ex ante by a number of financial variables.

Original languageEnglish
Pages (from-to)379-393
Number of pages15
JournalThe Manchester School
Issue number4
Publication statusPublished - Sept 1997


  • stock returns
  • term structure
  • pricing model
  • bond markets
  • spreads
  • prices


Dive into the research topics of 'Business conditions and speculative assets'. Together they form a unique fingerprint.

Cite this