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

C. 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

C. Ioannidis^*
, D. A. Peel
, K. P.G. Matthews

^*Corresponding author for this work

Research output: Journal Publication › 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 - Jun 2006
Externally published	Yes

Free Keywords

C5
Cointegration
Consumption
E2
G1
Real returns
Wealth

ASJC Scopus subject areas

Economics and Econometrics

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10.1016/j.jmacro.2004.12.001

Cite this

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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.",

keywords = "C5, Cointegration, Consumption, E2, G1, Real returns, Wealth",

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

note = "Funding Information: David Peel gratefully acknowledges financial support from ESRC grant L/138/25/1004. We are grateful without implication to two anonymous referees. All remaining errors are ours entirely. ",

year = "2006",

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

language = "English",

volume = "28",

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T1 - Expected stock returns, aggregate consumption and wealth

T2 - Some further empirical evidence

AU - Ioannidis, C.

AU - Peel, D. A.

AU - Matthews, K. P.G.

N1 - Funding Information: David Peel gratefully acknowledges financial support from ESRC grant L/138/25/1004. We are grateful without implication to two anonymous referees. All remaining errors are ours entirely.

PY - 2006/6

Y1 - 2006/6

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.

KW - C5

KW - Cointegration

KW - Consumption

KW - E2

KW - G1

KW - Real returns

KW - Wealth

UR - https://www.scopus.com/pages/publications/33646345083

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DO - 10.1016/j.jmacro.2004.12.001

M3 - Article

AN - SCOPUS:33646345083

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

Free Keywords

ASJC Scopus subject areas

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