Consumption, wealth and expected stock returns in Australia: some further results

Lance A. Fisher

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Consumption, wealth and expected stock returns in Australia: some further results

机译：澳大利亚的消费，财富和预期股票回报：进一步的结果

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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.

机译：本文重新检验了证据，即cay是消费对劳动收入和家庭财富的协整回归的残差，是澳大利亚数据中股票超额回报的有用预测指标。在从1976：q4开始到1990：q1至2003：q1的递归样本中，cay是超额收益的有力预测指标。在此后结束的样本中，cay失去了回报的预测能力。这是由于住房和股票市场最近的发展，消费，劳动收入和家庭财富之间的协整关系破裂。

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《Applied Financial Economics Letters》 |2008年第3期|p.13-18|共6页
作者
Lance A. Fisher;
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School of Economics, University of New South Wales, Sydney, NSW, 2052 Australia;

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正文语种 eng
中图分类财政、金融;
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Consumption, wealth and expected stock returns in Australia: some further results

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