Time-Varying Expected Returns: Evidence from the U.S. and the U.K

Ricardo Sousa

No 10/2010, NIPE Working Papers from NIPE - Universidade do Minho

Abstract: I assess the relative performance of several empirical proxies developed in the literature of asset pricing to capture time-variation in expected future returns using data for the U.S. and the U.K.. I show that the wealth composition risk by Sousa (2010) exhibits strong forecasting power.

Keywords: asset pricing; wealth; empirical proxies; expected returns. (search for similar items in EconPapers)
JEL-codes: D12 E21 E44 (search for similar items in EconPapers)
Date: 2010
New Economics Papers: this item is included in nep-for and nep-mac
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