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

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Show simple item record Rodríguez López, Rosa Nieto, Belén 2010-04-15T11:09:06Z 2010-04-15T11:09:06Z 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.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 PeerReviewed
dc.description.status Publicado
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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