The consumption/wealth and book/market ratios in a dynamic asset pricing contex

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dc.contributor.author Rodríguez López, Rosa
dc.contributor.author Nieto, Belén
dc.date.accessioned 2010-04-15T11:09:06Z
dc.date.available 2010-04-15T11:09:06Z
dc.date.issued 2006-09
dc.identifier.bibliographicCitation Spanish Economic Review, septiembre 2006, Vol. 8, No 3, p. 199-226
dc.identifier.issn 1435-5469 (Print)
dc.identifier.issn 1435-5477 (Online)
dc.identifier.uri http://hdl.handle.net/10016/7605
dc.description.abstract This paper addresses new insights into the predictability of financial returns. In particular, we analyze two aspects of the controversial forecasting literature. On the one hand, we demonstrate a positive and contemporaneous link between aggregate book/market and consumption/wealth ratios. On the other hand, we show that real estate and human capital, as the present value of all future salaries, are key components of the consumption/wealth ratio in Spain. Specifically, we find that the cointegrating residuals of consumption, asset holdings, real estate holdings, and our measure of human capital provide a better forecast of future returns than does the standard proxy of the consumption/wealth ratio. This result is important because it clarifies the importance of country-specific components of wealth for cases in which the consumption/wealth ratio is employed as an instrument in conditional asset pricing models.
dc.format.mimetype text/plain
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Springer
dc.rights ©Springer
dc.subject.other Stock markets
dc.subject.other Predictability
dc.subject.other Consumption
dc.subject.other Aggregate wealth
dc.subject.other Book/market
dc.title The consumption/wealth and book/market ratios in a dynamic asset pricing contex
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1007/s10108-006-9002-2
dc.subject.eciencia Empresa
dc.identifier.doi 10.1007/s10108-006-9002-2
dc.rights.accessRights openAccess
dc.identifier.publicationfirstpage 199
dc.identifier.publicationissue 3
dc.identifier.publicationtitle Spanish Economic Review
dc.identifier.publicationvolume 8
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