Estimating Expected Asset Returns With the Present Value Model of Consumption and Fed Forecasts

N Kishor

MPRA Paper from University Library of Munich, Germany

Abstract: This paper utilizes Greenbook forecasts of consumption and income to predict expected asset returns through a present-value model of consumption. The study finds that, despite the valuable information contained in Greenbook forecasts, the expected asset returns obtained from this approach do not provide meaningful insights into future asset returns. This contrasts with previous literature suggesting predictability using the present-value model.

Keywords: Consumption; Asset Returns; Present-Value Model; Greenbook Forecasts (search for similar items in EconPapers)
JEL-codes: C32 E21 (search for similar items in EconPapers)
Date: 2023-12-29
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/119617/1/MPRA_paper_119617.pdf original version (application/pdf)

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:pra:mprapa:119617

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().