The Wealth-Consumption Ratio and the Consumption-Habit Ratio
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 23 (2005)
Issue (Month): (April)
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- Tom Engsted & Stuart Hyde & Stig V. Møller, 2007.
"Habit Formation, Surplus Consumption and Return Predictability: International Evidence,"
CREATES Research Papers
2007-31, School of Economics and Management, University of Aarhus.
- Engsted, Tom & Hyde, Stuart & Møller, Stig V., 2010. "Habit formation, surplus consumption and return predictability: International evidence," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1237-1255, November.
- Møller, Stig Vinther, 2008.
"Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns,"
Finance Research Group Working Papers
F-2008-04, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Møller, Stig Vinther, 2009. "Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 525-536, September.
- Stig V. Møller, 2007. "Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns," CREATES Research Papers 2007-07, School of Economics and Management, University of Aarhus.
- Ghattassi, Imen, 2008. "On the predictive power of the surplus consumption ratio," Finance Research Letters, Elsevier, vol. 5(1), pages 21-31, March.
- Shue-Jen Wu & Wei-Ming Lee, 2012. "Predicting the U.S. bear stock market using the consumption-wealth ratio," Economics Bulletin, AccessEcon, vol. 32(4), pages 3174-3181.
- Wang, Yi-Chiuan & Wu, Jyh-Lin & Lai, Yi-Hao, 2013. "A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1706-1719.
- Hui Guo & Zijun Wang & Jian Yang, 2006. "Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market," Working Papers 2006-047, Federal Reserve Bank of St. Louis.
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