Gao, Paul P.J.; Huang, Kevin X.D. - In: Annals of Economics and Finance 9 (2008) 1, pp. 1-37
We find that the short-term deviations from long-run consumption-wealth relationship (cay) forecast stock market returns and serve as a conditioning variable in the capital asset pricing model (CAPM) for explaining the cross-section of stock returns for the United Kingdom and Japan. Our...