George Korniotis (corresponding author) and Alok Kumar are at the School of Business Administration, University of Miami. We thank an anonymous referee; an anonymous Associate Editor; Aydogan Alti; Bo Becker; Sean Campbell; Jonathan Cohn; Murray Frank; David Gallagher; William Goetzmann; John Griffin; Bing Han; Cam Harvey (the Editor); Harrison Hong; Tim Loughran; Massimo Massa; Jeremy Page; Ramesh Rao; Stefan Ruenzi; Oleg Rytchkov; Oliver Spalt; Laura Starks; Sheridan Titman; Masahiro Watanabe; Scott Weisbenner; Margaret Zhu; Ning Zhu; and seminar participants at Federal Reserve Finance Forum, 2008 University of Colorado Investment Management Conference, University of Texas at Austin, 2009 WFA, Fourth Biennial McGill Conference on Global Asset Management (2009), Drexel University, DePaul University, and University of Miami for helpful comments and valuable suggestions. We are responsible for all remaining errors and omissions. Previous versions of the paper circulated under the title “Long Georgia, Short Colorado? The Geography of Return Predictability.”
State-Level Business Cycles and Local Return Predictability
Article first published online: 20 MAY 2013
© 2013 the American Finance Association
The Journal of Finance
Volume 68, Issue 3, pages 1037–1096, June 2013
How to Cite
KORNIOTIS, G. M. and KUMAR, A. (2013), State-Level Business Cycles and Local Return Predictability. The Journal of Finance, 68: 1037–1096. doi: 10.1111/jofi.12017
- Issue published online: 20 MAY 2013
- Article first published online: 20 MAY 2013
- Accepted manuscript online: 30 JAN 2013 12:35PM EST
- Manuscript Accepted: 9 JAN 2013
- Manuscript Received: 15 DEC 2008
Disclaimer: Supplementary materials have been peer-reviewed but not copyedited.
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