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dc.contributor.advisorJohnson, Shane A.
dc.contributor.advisorGallmeyer, Michael F.
dc.creatorPark, Heungju
dc.date.accessioned2012-10-19T15:28:49Z
dc.date.accessioned2012-10-22T17:58:55Z
dc.date.available2012-10-19T15:28:49Z
dc.date.available2012-10-22T17:58:55Z
dc.date.created2011-08
dc.date.issued2012-10-19
dc.date.submittedAugust 2011
dc.identifier.urihttp://hdl.handle.net/1969.1/ETD-TAMU-2011-08-9851
dc.description.abstractThis dissertation examines stock return predictability with aggregate credit conditions. The aggregate credit conditions are empirically measured by credit standards (Standards) derived from the Federal Reserve Board's Senior Loan Officer Opinion Survey on Bank Lending Practices. Using Standards, this study investigates whether the aggregate credit conditions predict the expected returns and volatility of the stock market. The first essay, "Credit Conditions and Expected Stock Returns," analyzes the predictability of U.S. aggregate stock returns using a measure of credit conditions, Standards. The analysis reveals that Standards is a strong predictor of stock returns at a business cycle frequency, especially in the post-1990 data period. Empirically the essay demonstrates that a tightening of Standards predicts lower future stock returns. Standards performs well both in-sample and out-of-sample and is robust to a host of consistency checks including a small sample analysis. The second essay, "Credit Conditions and Stock Return Volatility," examines the role played by credit conditions in predicting aggregate stock market return volatility. The essay employs a measure of credit conditions, Standards in the stock return volatility prediction. Using the level and the log of realized volatility as the estimator of the stock return volatility, this study finds that Standards is a strong predictor of U.S. stock return volatility. Overall, the forecasting power of Standards is strongest during tightening credit periods.en
dc.format.mimetypeapplication/pdf
dc.language.isoen_US
dc.subjectpredictabilityen
dc.subjectcrediten
dc.subjectstocken
dc.subjectreturnen
dc.subjectvolatilityen
dc.subjectsurveyen
dc.titleCredit Conditions and Stock Return Predictabilityen
dc.typeThesisen
thesis.degree.departmentFinanceen
thesis.degree.disciplineFinanceen
thesis.degree.grantorTexas A&M Universityen
thesis.degree.nameDoctor of Philosophyen
thesis.degree.levelDoctoralen
dc.contributor.committeeMemberKim, Hwagyun
dc.contributor.committeeMemberChava, Sudheer
dc.contributor.committeeMemberJinnai, Ryo
dc.type.genrethesisen
dc.type.materialtexten


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