Fator alavancagem: ciclo de crédito e retorno dos ativos

Resumo:

Research finds strong links between credit booms and macroeconomic outcomes like financial crises and output growth. Are impacts also seen in financial asset prices? We document this robust and significant connection for the first time using a large sample of historical data for many countries. Credit boom periods tend to be followed by unusually low returns to equities, in absolute terms and relative to bonds. Return predictability due to this leverage factor is distinct from that of established factors like momentum and value and generates trading strategies with meaningful excess profits out-of-sample. These findings pose a challenge to conventional macrofinance theories.

The Leverage Factor: Credit Cycles and Asset ReturnsJosh Davis and Alan M. TaylorNBER Working Paper No. 26435November 2019