A refined consumption–wealth ratio and its role on time-varying consumption risk

Margot Quijano

Economics Letters, 2012, vol. 115, issue 1, 88-90

Abstract: This paper takes a deeper look at the measurement of the consumption–wealth ratio and analyzes its ability to capture variations in expected future stock returns. I find evidence of stock return predictability by taking a different approach than predictive regressions.

Keywords: Consumption–wealth ratio; Consumption risk; Price of risk (search for similar items in EconPapers)
JEL-codes: E21 E32 G12 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:1:p:88-90

DOI: 10.1016/j.econlet.2011.11.027

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