TY - JOUR
T1 - Expected stock returns, aggregate consumption and wealth: Some further empirical evidence
AU - Ioannidis, Christos
AU - Peel, D A
AU - Matthews, K P G
PY - 2006/6/1
Y1 - 2006/6/1
N2 - 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.
AB - 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.
UR - https://www.sciencedirect.com/science/article/pii/S0164070406000115
U2 - 10.1016/j.jmacro.2004.12.001
DO - 10.1016/j.jmacro.2004.12.001
M3 - Article
SN - 0164-0704
VL - 28
SP - 439
EP - 445
JO - Journal of Macroeconomics
JF - Journal of Macroeconomics
IS - 2
ER -