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

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

Research output: Journal PublicationArticlepeer-review

8 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 languageEnglish
Pages (from-to)439-445
Number of pages7
JournalJournal of Macroeconomics
Volume28
Issue number2
DOIs
Publication statusPublished - Jun 2006
Externally publishedYes

Keywords

  • C5
  • Cointegration
  • Consumption
  • E2
  • G1
  • Real returns
  • Wealth

ASJC Scopus subject areas

  • Economics and Econometrics

Fingerprint

Dive into the research topics of 'Expected stock returns, aggregate consumption and wealth: Some further empirical evidence'. Together they form a unique fingerprint.

Cite this