Predicting the U.S. bear stock market using the consumption-wealth ratio
AbstractThis paper examines the predictive ability of the consumption-wealth ratio for the U.S. bear stock market using quarterly data on the S&P500 index. By evaluating the in-sample and out-of-sample performance with, respectively, the Pseudo-$R^2$ and the quadratic probability score, it is found that the consumption-wealth ratio is a useful leading indicator in predicting bear markets.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 32 (2012)
Issue (Month): 4 ()
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- G1 - Financial Economics - - General Financial Markets
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