This paper studies the signalling effect of the consumption-wealth ratio (cay) on German stock returns via vector error correction models (VECMs). The effect of cay on U.S. stock returns has been recently confirmed by Lettau and Ludvigson with a two-stage method. In this paper, performances of...

This paper finds that capital and labor incomes in the United States have become more closely associated since the 1980s. This contributed to the well-known increase in the top 1 percent's share of total income, exacerbating rising inequality in capital incomes and earnings. The paper shows that...