Purpose: In this study, we empirically demonstrate how the new variable of "cyclical consumption" can capture … consumption risk and predict expected stock returns, which relationship is stronger and should be considered as the primary macro … cyclical consumption in the Korean capital market. Design/methodology/approach: The basic research design is composed of three …

-cycle consumption and portfolio choice in the presence of undiversifiable labor income risk. Investors filter the unobservable expected …

extended beyond the preceding period. We show that change in four-year consumption growth---the measure of consumption … coefficient much lower than any existing consumption measures under the standard consumption model. This outperformance of our …-year consumption growth encompasses other consumption measures in explaining the cross-sectional variation of expected returns on …