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This study tests whether stock returns vary predictably with business cycles across Portugal, Spain, Italy, France, and Germany using comprehensive data from 1999Q4 to 2015Q4. Residual returns are regressed on lagged economic indicators to assess predictability, identifying that national indicators are not robust while Eurozone counterparts contain more informative signals.",{"@graph":69,"@context":122},[70,84,105],{"@type":71,"itemListElement":72},"BreadcrumbList",[73,77,79,82],{"item":74,"name":75,"@type":76,"position":8},"https://docshare.wps.com","Home","ListItem",{"item":78,"name":9,"@type":76,"position":14},"https://docshare.wps.com/document/",{"item":80,"name":40,"@type":76,"position":81},"https://docshare.wps.com/document/research-report/",3,{"item":83,"name":65,"@type":76,"position":19},"https://docshare.wps.com/document/business-cycles-and-stock-market-returns-predictability-evidence-from-continental-europe-masters-in-finance-dissertation/202121/",{"url":83,"name":65,"@type":85,"image":86,"author":91,"headline":65,"publisher":94,"fileFormat":97,"inLanguage":63,"description":67,"dateModified":98,"datePublished":99,"encodingFormat":97,"isAccessibleForFree":100,"interactionStatistic":101},"DigitalDocument",{"url":87,"@type":88,"width":89,"height":90},"https://docshare.wps.com/thumbnails/business-cycles-and-stock-market-returns-predictability-evidence-from-continental-europe-masters-in-finance-dissertation/202121.png","ImageObject",300,407,{"name":92,"@type":93},"Ethan Miller","Person",{"url":74,"name":95,"@type":96},"DocShare","Organization","application/pdf","2026-11-04","2026-09-04",true,{"@type":102,"interactionType":103,"userInteractionCount":52},"InteractionCounter",{"@type":104},"ViewAction",{"@type":106,"mainEntity":107},"FAQPage",[108,114,118],{"name":109,"@type":110,"acceptedAnswer":111},"Which European countries are analyzed, and what is the sample period?","Question",{"text":112,"@type":113},"The study covers Portugal, Spain, Italy, France, and Germany, using data from 1999Q4 to 2015Q4.","Answer",{"name":115,"@type":110,"acceptedAnswer":116},"How is stock return predictability tested in the dissertation?",{"text":117,"@type":113},"It regresses residual returns (over a market risk-free rate) on lagged economic indicators expected to vary with the business cycle.",{"name":119,"@type":110,"acceptedAnswer":120},"What are the main findings about national versus Eurozone business cycle indicators?",{"text":121,"@type":113},"Country-level indicators are not robust predictors of stock returns, while Eurozone versions of these indicators provide more valuable information about future country-level returns.","https://schema.org",{"og:url":83,"og:type":124,"og:title":65,"og:site_name":95,"og:description":67},"article",{"robots":126,"canonical":83},"index,follow",{"doc_id":128,"site_id":62},202121,1788542458,{"code":4,"msg":5,"data":131},{"doc_id":128,"user_id":132,"nickname":92,"user_avatar":133,"doc_module":4,"category_id":39,"category_name":40,"doc_title":65,"doc_description":67,"doc_content":134,"file_id":135,"file_url":136,"file_type":137,"file_size":138,"view_count":52,"is_deleted":4,"is_public":8,"is_downloadable":8,"audit_status":8,"page_count":139,"language":140,"language_code":63,"site_id":62,"html_lang":63,"table_of_contents":141,"faqs":142,"seo_title":143,"seo_description":67,"update_tm":129,"read_time":144,"preview_page_count":4},687207017582,"https://ap-avatar.wpscdn.com/davatar_994ba38a5ba835b3df7d355c54d3ed8d","Business Cycles and Stock Market Returns Predictability Evidence from Continental Europe  \nAbed el Karim Salim Farroukh*  \nMasters in Finance Dissertation  \nAdvisor: Júlio Fernando Seara Sequeira da Mota Lobão, Ph.D.  \nCo-Advisor: Natércia Silva Fortuna, Ph.D.  \n2016  \nBiographical Statement  \nAbed el Karim Farroukh was born in Lebanon in 1993. He completed his B.S. in Banking and Finance with a minor in Economics at the Lebanese American University before joining the Masters in Finance program at the Faculty of Economics and Management, University of Porto. As an Erasmus Mundus scholar, Abed was involved in several initiatives during his stay in Porto, among them the City Hall program “Classes Without Frontiers” in which he gave lectures to high school students. Additionally, he has served as the head of portfolio management team in FEP Finance club. Abed has developed a genuine interest for academia throughout the Masters in Finance program at U. Porto, and he is aiming to further his studies by joining the Ph.D. program in Business Administration with a Finance Specialization at the University of Washington.  \nAcknowledgements  \nMy sincere gratitude to Professor Júlio Lobão for introducing me to the topic and for the readily provided guidance and supervision, Professor Natércia Fortuna for her help, my family for their prayers, Thomson Reuters for teaching me patience, my beloved companion for nurturing my stress management skills, librarians ofthe Faculty of Economics at U. Porto and Nova School of Business for their kindness, and finally Erasmus Mundus and the European Commission for giving me the chance to enroll in such a life changing experience.  \nAbstract  \nBusiness cycle patterns in common stock returns have been widely tested in the U.S. (e.g. Fama and French (1989), Korniotis and Kumar (2013)) and the UK (e.g. Priestley (1997), Velazquez and Smith (2013)). And despite the relevance of the topic, the literature seems to lack evidence from continental Europe. This study fills part of the gap through testing whether stock returns vary with business cycles in a predictable manner for a set of continental European countries. We collect a comprehensive set of data spanning from 1999Q4 till 2015Q4 and covering Portugal, Spain, Italy, France and Germany, then we regress residual returns from a market risk free rate of value-weighted country portfolios over lagged economic indicators that are likely to vary with the business cycle. The main findings of the study suggest that (i) country-level business cycle indicators are not robust predictors of stock returns and (ii) the Eurozone counterparts of these indicators incorporate more valuable information about future country-level stock returns. We present several economic justifications for our findings. First, stock market wealth accounts for a small percentage of household’s net worth in continental Europe which makes it harder for short-run countrylevel economic fluctuations to propagate to the stock market. Second, the period covered by the study starts at the time of introducing the euro as a single currency and captures several economic crises; all of which are events that granted Eurozone indicators a significant predictive power of country stock returns because they contributed to: (i) financial and economic convergence of Eurozone economies (ii) increased comovements in Eurozone equity markets and (iii) higher regional equity bias to the detriment of home bias of European investors. Our findings have significant implications for investors using macroeconomic trading strategies to time the European equity markets.  \nKey words: stock returns predictability, business cycles, Eurozone  \nJEL Classification: G17, E30, E44  \nResumo  \nO impacto das tendências dos ciclos económicos nas rendibilidades das ações tem sido umassunto amplamente testado para os mercados dos EUA (e. g., Fama e French (1989), Korniotis e Kumar (2013)) e do Reino Unido (e.g., Priestley (1997), Velazq","cbCaiaf2IjxIrSMw","https://ap.wps.com/l/cbCaiaf2IjxIrSMw","pdf",1371497,57,"English","# Abstract\n## Data and methodology\n## Main findings\n## Economic explanations\n## Implications","[{\"question\":\"Which European countries are analyzed, and what is the sample period?\",\"answer\":\"The study covers Portugal, Spain, Italy, France, and Germany, using data from 1999Q4 to 2015Q4.\"},{\"question\":\"How is stock return predictability tested in the dissertation?\",\"answer\":\"It regresses residual returns (over a market risk-free rate) on lagged economic indicators expected to vary with the business cycle.\"},{\"question\":\"What are the main findings about national versus Eurozone business cycle indicators?\",\"answer\":\"Country-level indicators are not robust predictors of stock returns, while Eurozone versions of these indicators provide more valuable information about future country-level returns.\"}]","Business Cycles and Stock Market Returns Predictability - Evidence from Continental Europe - Masters in Finance Dissertation | PDF",144]