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.
|Date of creation:||2010|
|Date of revision:|
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- Michaelides, Alexander, 2001.
"International Portfolio Choice: Liquidity Constraints and the Home Equity Bias Puzzle,"
CEPR Discussion Papers
3066, C.E.P.R. Discussion Papers.
- Michaelides, Alexander, 2003. "International portfolio choice, liquidity constraints and the home equity bias puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 28(3), pages 555-594, December.
- Alexander Michaelides, 2003. "International portfolio choice, liquidity constraints and the home equity bias puzzle," LSE Research Online Documents on Economics 195, London School of Economics and Political Science, LSE Library.
- Ricardo M. Sousa, 2005.
"Consumption, (Dis) Aggregate Wealth and Asset Returns,"
NIPE Working Papers
9/2005, NIPE - Universidade do Minho.
- Sousa, Ricardo M., 2010. "Consumption, (dis)aggregate wealth, and asset returns," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 606-622, September.
- Ricardo M. Sousa, 2006. "Consumption, (Dis)Aggregate Wealth and Asset Returns," Computing in Economics and Finance 2006 212, Society for Computational Economics.
- 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.
- Nobuhiro Kiyotaki & Alexander Michaelides & Kalin Nikolov, 2010. "Winners and Losers in House Markets," Working Papers 2010-5, Central Bank of Cyprus.
- 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.
- Motohiro Yogo, 2006. "A Consumption-Based Explanation of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 61(2), pages 539-580, 04.
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