Using quarterly data over 35 years for the UK on asset returns and consumption expenditure, the traditional power utility consumption based capital asset pricing model (C-CAPM), the recursive preferences model proposed by Epstein and Zin (1991) and a habit formation specification model are...

We investigate the relationship between consumption and the term structure using U.K. interest rate data. We demonstrate that the term structure contains information about future economic activity as implied by the benchmark time separable power utility consumption based capital asset pricing...

This study examines the relative importance of liquidity risk for the time-series and cross-section of stock returns in the UK. We propose a simple way to capture the multidimensionality of illiquidity. Our analysis indicates that existing illiquidity measures have considerable asset specific...

We investigate the relationship between consumption and the term structure using UK interest rate data. We demonstrate that the term structure contains information about future economic activity since the yield spread has forecasting power for future consumption growth. Further we analyze the...