Wealth-to-income ratio and stock returns: evidence from the Euro Area
AbstractI find that when the ratio of asset wealth to human wealth falls, investors become more exposed to labour income shocks and demand a higher risk premium for stocks. I show that the residuals of the trend relationship among wealth and labour income, wy , predict future stock returns in the Euro Area. The results are robust to additional control variables and show the superiority of wy vis-a-vis other benchmark models.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 19 (2012)
Issue (Month): 7 (May)
Contact details of provider:
Web page: http://www.tandfonline.com/RAEL20
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Fredj Jawadi & Ricardo M. Sousa, 2013.
"Modelling money demand: further evidence from an international comparison,"
Applied Economics Letters,
Taylor & Francis Journals, vol. 20(11), pages 1052-1055, July.
- Fredj Jawadi & Ricardo M. Sousa, 2012. "Modelling Money Demand: Further Evidence from an International Comparison," NIPE Working Papers 23/2012, NIPE - Universidade do Minho.
- Ren, Yu & Yuan, Yufei & Zhang, Yang, 2014. "Human capital, household capital and asset returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 11-22.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.