We test conditional consumption capital asset pricing models (CCAPMs) in the Australian equity market. The conditional variables used are Lettau and Ludvigson's (2001a, b) consumption – wealth ratio, Campbell and Cochrane's (1999) surplus consumption ratio and Santos and Veronesi's (2006)...

A simple manipulation of the cointegrated framework proposed by Lettau and Ludvigson (2001, 2004) allows to demonstrate that temporary fluctuations of the U.S. consumption-wealth ratio predict excess returns on international stock markets. This finding is the reflection of an important common,...

Empirical proxies of the aggregate consumption-wealth ratio in terms of a cointegrating relationship between consumption (c), asset wealth (a) and labour income (y), commonly referred to as cay-residuals, play an important role in recent empirical research in macroeconomics and finance. This...