Della Corte, Pasquale; Sarno, Lucio; Valente, Giorgio - In: Journal of Empirical Finance 17 (2010) 3, pp. 313-331
This paper re-examines the predictive ability of the consumption-wealth ratio (cay) on the equity premium using hand-collected annual data spanning one century for four major economies. In addition to statistical tests of out-of-sample forecast accuracy, we measure the economic value of the...