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,...

The consumption beta theorem of Breeden makes the expected return on any asset a function only of its covariance with changes in aggregate consumption. It is shown that the theorem is more robust than was indicated by Breeden. The theorem obtains even if one deletes Breeden's assumptions that...