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

Christos Ioannidis; D A Peel; K P G Matthews

doi:10.1016/j.jmacro.2004.12.001

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

Christos Ioannidis
, D A Peel
, K P G Matthews

Research output: Contribution to journal › Article › peer-review

9 Citations (Scopus)

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 language	English
Pages (from-to)	439-445
Number of pages	7
Journal	Journal of Macroeconomics
Volume	28
Issue number	2
DOIs	https://doi.org/10.1016/j.jmacro.2004.12.001
Publication status	Published - 1 Jun 2006

Access to Document

10.1016/j.jmacro.2004.12.001

Cite this

@article{dbe24e57be0e4edfac91e64b0980eeac,

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

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.",

author = "Christos Ioannidis and Peel, \{D A\} and Matthews, \{K P G\}",

year = "2006",

month = jun,

day = "1",

doi = "10.1016/j.jmacro.2004.12.001",

language = "English",

volume = "28",

pages = "439--445",

journal = "Journal of Macroeconomics",

issn = "0164-0704",

publisher = "Elsevier",

number = "2",

}

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 -

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

Abstract

Access to Document

Other files and links

Fingerprint

Cite this