Consumption, aggregate wealth and expected stock returns

Keywords

Economics, Econometrics, Portfolio, Stock (firearms), Consumption (sociology)

References

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• A Very Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance MatrixPeter Burridge — 1991
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• Tests for Forecast EncompassingDavid I. Harvey, Stephen J. Leybourne, Paul Newbold — 1998
• Stock Prices and Social DynamicsRobert J. Shiller, Stanley Fischer, Benjamin M. Friedman — 1984
• Predictable Stock Returns: The Role of Small Sample BiasCharles R. Nelson, Myung J. Kim — 1993
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• The Time Series Consumption Function RevisitedAlan S. Blinder, Angus Deaton, Robert E. Hall — 1985
• A SIMPLE ESTIMATOR OF COINTEGRATING VECTORS IN HIGHER ORDER INTEGRATED SYSTEMSJames H. Stock, Mark W. Watson — 1993
• Finite‐sample properties of tests for equal forecast accuracyTodd E. Clark — 1999
• Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?Peter Bossaerts, Pierre Hillion — 1999
• Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and MeasurementRobert J. Hodrick — 1992
• THE ECONOMETRICS OF FINANCIAL MARKETSJohn Y. Campbell, Andrew W. Lo, A. Craig MacKinlay — 1996
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• Intertemporally Dependent Preferences and the Volatility of Consumption and WealthSuresh Sundaresan — 1989
• Endogenous Trading Volume and Momentum in Stock-Return VolatilityChristopher G. Lamoureux, William D. Lastrapes — 1994
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive ModelsSøren Johansen — 1991
• Intertemporal Substitution in ConsumptionRobert E. Hall — 1988
• The Adjustment of Consumption to Changing Expectations About Future IncomeMarjorie Flavin — 1981

Cited by

• Unbalanced Regressions and the Predictive EquationDaniela Osterrieder, Daniel Ventosa-Santaullria, J. Eduardo Vera‐Valdés — 2015
• Essays in cross-sectional asset pricingScott Cederburg — 2011
• The Interest Rate Effects of Government Debt MaturityJagjit S. Chadha, Philip Turner, Fabrizio Zampolli — 2013
• Stock Return Predictability in a Monetary EconomyAbraham Lioui, Jesper Rangvid — 2007
• Return predictability and state variables in consumption-based CAPMs: International perspectivesBin Li, Benjamín Liu — 2010
• Związki dynamiczne między konsumpcją, dochodem i aktywami : wnioski dla PolskiMagdalena Zachłód-Jelec — 2011
• The sum-of-the-parts method: An international applicationAna Carolina Marques de Almeida — 2009
• Motivating, constructing and testing the Fama-French three factor model on the Johannesburg Stock ExchangePatryk Basiewicz — 2011
• Editors' introduction: Resampling methods in econometricsJean‐Marie Dufour, Benoît Perron — 2005
• Three Essays on Return Predictability and Decentralized Investment ManagementDashan Huang — 2013
• Testing world consumption asset pricing modelsBin Li — 2010
• High Dividend Yield Does Predict Lower Dividend Growth: A Natural ExperimentKevin C.H. Chiang — 2008
• Equity Valuation: More than Thirty Years LaterPeter Christensen, Gerald A. Feltham — 2008
• Is 'tagging' a rationale for affirmative action in education?A. B. Sollaci — 2014
• Characteristic-Based Covariances and Cross-Sectional Expected ReturnsGeorge Gao — 2011
• CONSUMPTION-WEALTH RATIO AND HOUSING RETURNSSimon Dubecq, Imen Ghattassi — 2009
• A Poupança em PortugalFernando Alexandre, Luís Aguiar‐Conraria, Pedro Bação — 2011
• From the Horse's Mouth: How Do Investor Expectations of Risk and Return Vary with Economic Conditions?Gene Amromin, Steven A. Sharpe — 2012
• Responses of Time-Use to Shocks in Wealth During the Great RecessionJim Been, Michael D. Hurd, Susann Rohwedder — 2014
• Essays on determinants spillovers and predictability of the South African stock returnsMampho P. Modise — 2013

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• PHILOSOPHIC ISSUES IN DIVIDEND DISTRIBUTIONRobert C. Winters — 1978
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