Expected stock returns, aggregate consumption and wealth: Some further empirical evidence

Christos Ioannidis, D A Peel, K P G Matthews

Research output: Contribution to journalArticlepeer-review

Abstract

Following the methodology suggested by (Lettau, M., Ludvigson, S., 2001. Consumption, aggregate wealth and expected stock returns, Journal of Finance 2, 815–849). We test whether the cointegrating residual, implied by a wide class of optimal consumption models has explanatory power for short-horizon real equity returns in three countries: Australia, Canada and the United Kingdom in the post-war period.
Original languageEnglish
Pages (from-to)439-445
Number of pages7
JournalJournal of Macroeconomics
Volume28
Issue number2
DOIs
Publication statusPublished - 1 Jun 2006

Fingerprint Dive into the research topics of 'Expected stock returns, aggregate consumption and wealth: Some further empirical evidence'. Together they form a unique fingerprint.

Cite this