Using the Michigan Survey of Consumers, we provide evidence that consumers' beliefs about current and future aggregate durable expenditure predict expected returns. We rationalize this finding through an asset pricing model with recursive preferences over non-durable and durable goods and belief...

This paper presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and Weil (1989) (EZW) recursive utility model, evaluates the model's ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the...

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 indicator for stock markets between KOSPI and KOSDAQ,...