TY - JOUR
T1 - Consumption, wealth and expected stock returns in Australia
T2 - Some further results
AU - Fisher, Lance A.
PY - 2008/1
Y1 - 2008/1
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=38749086465&partnerID=8YFLogxK
U2 - 10.1080/17446540701262843
DO - 10.1080/17446540701262843
M3 - Article
AN - SCOPUS:38749086465
VL - 4
SP - 13
EP - 18
JO - Applied Financial Economics Letters
JF - Applied Financial Economics Letters
SN - 1744-6546
IS - 1
ER -