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Time-Varying Expected Returns: Evidence from the U.S. and the U.K

I assess the relative performance of several empirical proxies developed in the literature of asset pricing to capture time-variation in expected future returns using data for the U.S. and the U.K.. I show that the wealth composition risk by Sousa (2010) exhibits strong forecasting power.

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Paper provided by NIPE - Universidade do Minho in its series NIPE Working Papers with number 10/2010.

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Date of creation: 2010
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Handle: RePEc:nip:nipewp:10/2010
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  1. Motohiro Yogo, 2006. "A Consumption-Based Explanation of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 61(2), pages 539-580, 04.
  2. Burton G. Malkiel, 2004. "Models Of Stock Market Predictability," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 27(4), pages 449-459.
  3. Ricardo M. Sousa, 2006. "Consumption, (Dis)Aggregate Wealth and Asset Returns," Computing in Economics and Finance 2006 212, Society for Computational Economics.
  4. Emilio Fernandez-Corugedo & Simon Price & Andrew Blake, 2003. "The dynamics of consumers' expenditure: the UK consumption ECM redux," Bank of England working papers 204, Bank of England.
  5. Nobuhiro Kiyotaki & Alexander Michaelides & Kalin Nikolov, 2010. "Winners and Losers in House Markets," Working Papers 2010-5, Central Bank of Cyprus.
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