consumption from its permanent level warranted by productivity—termed the consumption gap—comove with survey measures of consumer … sentiment and forecast stock returns in- and out-of-sample, subsuming other well-known consumption-based predictors. Using the … consumption gap to time the market, a mean-variance investor would achieve an annualized average certainty equivalent return of 2 …

Several papers show that the apparent disconnect between stock returns and consumption growth is due to mismeasurement … in standard consumption data, and propose to use new consumption measures instead. This paper finds that standard … consumption is valuable for asset pricing if one focuses on consumption levels rather than growth. I analytically show that, when …

consumption commitment for most households { their monthly rent or mortgage payment. I find that non-durable and food spending … weekly, biweekly and monthly income streams but the same timing of rent/mortgage payments have very similar consumption …