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Consumption, wealth and expected stock returns in Australia : some further results

Fisher, Lance A. - In: Applied financial economics letters 4 (2008) 1/3, pp. 13-18

Persistent link: https://www.econbiz.de/10003725305

Does consumption-wealth ratio signal stock returns? : VECM results for Germany

Fang, Xu (contributor) - 2005

This paper studies the signalling effect of the consumption-wealth ratio (cay) on German stock returns via vector error … wealth growth and U.S. income growth significantly. …

Persistent link: https://www.econbiz.de/10002633392

Does Consumption-Wealth Ratio Signal Stock Returns? VECM Results for Germany

Xu, Fang - 2009

This paper studies the signalling effect of the consumption-wealth ratio (cay) on German stock returns via vector error … is used, cay has no significant effect on German stock returns. Besides, it is also found that cay signals German wealth …

Persistent link: https://www.econbiz.de/10013154587

Predicting stock market movements with a time-varying consumption-aggregate wealth ratio

Chang, Tsangyao; Gupta, Rangan; Majumdar, Anandamayee; … - In: International review of economics & finance : IREF 59 (2019), pp. 458-467

Persistent link: https://www.econbiz.de/10012203261

Consumption, aggregate wealth and expected stock returns : a quantile cointegration approach

Quineche, Ricardo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 5, pp. 693-703

Persistent link: https://www.econbiz.de/10013554939

Predicting recessions with interest rate spreads : a multicountry regime-switching analysis

Ahrens, Ralf - 1999

This study uses Markov-switching models to evaluate the informational content of the term structure as a predictor of recessions in eight OECD countries. The empirical results suggest that for all countries the term spread is sensibly modelled as a two-state regime-switching process. Moreover,...

Persistent link: https://www.econbiz.de/10009768273