Wu, Shue-Jen; Lee, Wei-Ming - In: Economics Bulletin 32 (2012) 4, pp. 3174-3181
This paper examines the predictive ability of the consumption-wealth ratio for the U.S. bear stock market using quarterly data on the S&P500 index. By evaluating the in-sample and out-of-sample performance with, respectively, the Pseudo-$R^2$ and the quadratic probability score, it is found that...