Consumption, Aggregate Wealth, And Expected Stock Returns  

Oleh:

Lettau, Martin ; Ludvigson, Sydney

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 3 (2001), page 815-849.
Topik: WEALTH; studies; expected returns; forecasting techniques; consumption; wealth; ratios; statistical analysis
Fulltext: p 815.pdf (211.71KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper studies the role of fluctuations in the aggregate consumption - wealth ratio for predicting stock returns. Using US quarterly stock market data, it is found that these fluctuations in the consumption - wealth ratio are strong predictors of both real stock returns and excess returns over a Treasury bill rate. It is also found that this variable is a better forecaster of future returns at short and intermediate horizons than is the dividend yield, the dividend payout ratio, and several other popular forecasting variables. Why should the consumption wealth ratio forecast asset returns? It is shown that a wide class of optimal models of consumer behavior imply that the log consumption - aggregate wealth ratio summarizes expected returns on aggregate wealth, or the market portfolio.

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