Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7
            Countries

Castro, Andressa Souza Campos Monteiro; Issler, João Victor

doi:10.5935/0034-7140.20160022

Revista Brasileira De Economia

2016

DOI: 10.5935/0034-7140.20160022

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Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries

Andressa Souza Campos Monteiro Castro¹,

João Victor Issler²

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Cited by 2 publications

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“…Panel frameworks have been used in Caporale and Sousa (), Caporale, Sousa and Wohar (), and De Castro and Issler ().…”

mentioning

confidence: 99%

Consumption, asset wealth, equity premium, term spread, and flight to quality

Costantini

Sousa

2019

Euro Fin Management

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We link transitory deviations of consumption from its equilibrium relationship with aggregate wealth and labor income to equity returns on the one hand, and to two characteristics of bond investors-the premium demanded to hold long-term assets, and "flight to quality" behavior-on the other hand. Using a panel of 10 euro area countries over the period 1984Q1-2017Q4, we show that a rise in the consumption-wealth ratio predicts both higher equity returns and the future term spread, while a fall in the consumption-wealth ratio explains a large fraction of the rise in the spread between the "risky" and the "safe-haven" bond.

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“…Panel frameworks have been used in Caporale and Sousa (), Caporale, Sousa and Wohar (), and De Castro and Issler ().…”

mentioning

confidence: 99%

Consumption, asset wealth, equity premium, term spread, and flight to quality

Costantini

Sousa

2019

Euro Fin Management

View full text Add to dashboard Cite

show abstract

Does inequality help in forecasting equity premium in a panel of G7 countries?

Christou

Gupta

Jawadi

2021

The North American Journal of Economics and Finance

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Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries

Cited by 2 publications

References 28 publications

Consumption, asset wealth, equity premium, term spread, and flight to quality

Consumption, asset wealth, equity premium, term spread, and flight to quality

Does inequality help in forecasting equity premium in a panel of G7 countries?

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