Human capital, household capital and asset returns

Yu Ren (), Yufei Yuan () and Yang Zhang

Journal of Banking & Finance, 2014, vol. 42, issue C, 11-22

Abstract: Sousa (2010a) shows that the residuals from the common trend among consumption, financial wealth, housing wealth and human capital, cday, can predict quarterly stock market returns better than cay from Lettau and Ludvigson (2001), which considers aggregate wealth instead. In this paper, we use a more appropriate proxy of human capital, which alleviates the potential correlation between the residuals and the regressors and makes the estimation more precise. In addition, we extend housing wealth to household capital by taking durable goods into consideration. The new predictor is proposed accordingly. Empirically, we find that our predictor is superior to the other alternatives.

Keywords: Human capital; Household capital; Consumption-wealth ratio; Asset returns (search for similar items in EconPapers)
JEL-codes: D12 E21 E44 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378426614000429
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:42:y:2014:i:c:p:11-22

DOI: 10.1016/j.jbankfin.2014.01.028

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().