"This paper examines the combined influences of detrending and time aggregation on the measurement of business cycles. The approximate band-pass filter of Baxter and King (1999) performs relatively well in the sense that it retains the basic shape of disaggregate spectra and cospectra when applied to time aggregated data and is straightforward to apply across sampling intervals. Analysis of known time series processes and actual U.S. macro data, as well as simulation of a standard high-frequency RBC model, confirm the theoretical results."
Aadland (2002)
"After regressing excess returns against industrial production's cyclical component, these univariate tests provide little evidence of serial correlation in the resultant residuals, confirming the presence of a business cycle effect in excess returns. However, our multivariate analysis concludes that the business cycle contributes to these deviations from stationary random walk model, predictable long term swings in expected returns arising from variable trends in macroeconomic data still remain."
Daniel and Torous (1995)
"The evidence for cycles in financial time series is not impressive..."
Taylor (2005) page 130