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The US consumption-wealth ratio and foreign stock markets : international evidence for return predictability
Nitschka, Thomas (contributor) - 2006
that temporary fluctuations of the U.S. consumption-wealth ratio predict excess returns on international stock markets …
Persistent link: https://www.econbiz.de/10003355043
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Three essays on financial economics
Lee, Hangyong - 2003
Persistent link: https://www.econbiz.de/10003623717
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Does consumption-wealth ratio signal stock returns? : VECM results for Germany
Fang, Xu (contributor) - 2005
This paper studies the signalling effect of the consumption-wealth ratio (cay) on German stock returns via vector error … wealth growth and U.S. income growth significantly. …
Persistent link: https://www.econbiz.de/10002633392
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Consumption, aggregate wealth and expected stock returns : an FCVAR approach
Quineche, Ricardo - In: Journal of time series econometrics 13 (2021) 1, pp. 21-42
Persistent link: https://www.econbiz.de/10012437824
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Does Consumption-Wealth Ratio Signal Stock Returns? VECM Results for Germany
Xu, Fang - 2009
This paper studies the signalling effect of the consumption-wealth ratio (cay) on German stock returns via vector error … is used, cay has no significant effect on German stock returns. Besides, it is also found that cay signals German wealth …
Persistent link: https://www.econbiz.de/10013154587
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Can the Consumption-Wealth Ratio Predict Housing Returns? Evidence from OECD Countries
Caporale, Guglielmo Maria - 2015
its common trend with aggregate wealth and labour income, cay, and the housing risk premium. The evidence based on data …
Persistent link: https://www.econbiz.de/10013026047
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Consumption, aggregate wealth and expected stock returns : a fractional cointegration approach
Ren, Yu; Xie, Tian - In: Quantitative finance 18 (2018) 12, pp. 2101-2112
Persistent link: https://www.econbiz.de/10012262986
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Consumption-wealth ratio and expected stock returns : evidence from panel data on G7 countries
Castro, Andressa Monteiro de; Issler, João Victor - In: Revista brasileira de economia : RBE ; revista da … 70 (2016) 4, pp. 419-440
Persistent link: https://www.econbiz.de/10011787675
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Consumption, aggregate wealth and expected stock returns : a quantile cointegration approach
Quineche, Ricardo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 5, pp. 693-703
Persistent link: https://www.econbiz.de/10013554939
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Data revisions and out-of-sample stock return predictability
Guo, Hui - In: Economic inquiry : journal of the Western Economic … 47 (2009) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10003821068