Engsted, Tom; Hyde, Stuart; Møller, Stig V. - School of Economics and Management, University of Aarhus - 2007
-Cochrane (1999) habit formation model. In addition, we analyze the predictive power of the surplus consumption ratio for future asset … countries the surplus consumption ratio captures time-variation in expected returns. Together with the price-dividend ratio, the … surplus consumption ratio contains significant information about future stock returns, also during the 1990s. Finally, in most …