| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP2233
|
| DP2233 Finance, Investment and Growth |
| Colin Mayer; Wendy Carlin
|
| 发表日期 | 1999-09-30
|
| 出版年 | 1999
|
| 语种 | 英语
|
| 摘要 | This paper studies the role of detrended wealth in predicting stock returns. We call a transitory movement in wealth one that produces a deviation from its shared trend with consumption and labor income. Using quarterly stock market data we find that these trend deviations in wealth are strong predictors of both real stock returns and excess returns over a Treasury bill rate. We also find that this variable is a better forecaster of future returns at short and intermediate horizons than is the dividend yield, the earnings yield, the dividend payout ratio and several other popular forecasting variables. Why should wealth, detrended in this way, forecast asset returns? We show that a wide class of optimal models of consumer behavior imply that the log consumption-aggregate (human and nonhuman) wealth ratio forecasts the expected return on aggregate wealth, or the market portfolio. Although this ratio is not observable, we demonstrate that its important predictive components may be expressed in terms of observable variables, namely in terms of consumption, nonhuman wealth and labor income. The framework implies that these variables are cointegrated, and that deviations from this shared trend summarize agents' expectations of future returns on the market portfolio. |
| 主题 | Financial Economics
; International Macroeconomics
|
| 关键词 | Co integration
Consumption
Forecasting
Human capital
Stock returns
Wealth
|
| URL | https://cepr.org/publications/dp2233
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531334
|
推荐引用方式
GB/T 7714 |
Colin Mayer,Wendy Carlin. DP2233 Finance, Investment and Growth. 1999.
|
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