English, Article edition: Consumption, wealth and expected stock returns in Australia: some further results Lance Fisher

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Bookmark: http://trove.nla.gov.au/version/50830
Physical Description
  • article
Language
  • English

Edition details

Title
  • Consumption, wealth and expected stock returns in Australia: some further results
Author
  • Lance Fisher
Physical Description
  • article
Notes
  • This article re-examines the evidence that cay, the residual from a cointegrating regression of consumption on labour income and household wealth, is a useful predictor of excess stock returns in Australian data. In recursive samples beginning in 1976:q4 and ending from 1990:q1 to 2003:q1, cay is a strong predictor of excess returns. In samples that end thereafter, cay loses its predictive power for returns. This is due to a break-down in the cointegrating relation among consumption, labour income and household wealth following recent developments in the housing and stock markets.
  • RePEc:taf:apfelt:v:4:y:2008:i:1:p:13-18
Language
  • English
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