Skip to content Skip to navigation
University of Warwick
  • Study
  • |
  • Research
  • |
  • Business
  • |
  • Alumni
  • |
  • News
  • |
  • About

University of Warwick
Publications service & WRAP

Highlight your research

  • WRAP
    • Home
    • Search WRAP
    • Browse by Warwick Author
    • Browse WRAP by Year
    • Browse WRAP by Subject
    • Browse WRAP by Department
    • Browse WRAP by Funder
    • Browse Theses by Department
  • Publications Service
    • Home
    • Search Publications Service
    • Browse by Warwick Author
    • Browse Publications service by Year
    • Browse Publications service by Subject
    • Browse Publications service by Department
    • Browse Publications service by Funder
  • Help & Advice
University of Warwick

The Library

  • Login
  • Admin

A century of equity premium predictability and the consumption-wealth ratio: an international perspective

Tools
- Tools
+ Tools

Della Corte, Pasquale, Sarno, Lucio and Valente, Giorgio (2010) A century of equity premium predictability and the consumption-wealth ratio: an international perspective. Journal of Empirical Finance, Vol.17 (No.3). pp. 313-331. doi:10.1016/j.jempfin.2009.10.003

Research output not available from this repository, contact author.
Official URL: http://dx.doi.org/10.1016/j.jempfin.2009.10.003

Request Changes to record.

Abstract

This paper re-examines the predictive ability of the consumption-wealth ratio (cay) on the equity premium using hand-collected annual data spanning one century for four major economies. In addition to statistical tests of out-of-sample forecast accuracy, we measure the economic value of the predictive information in cay in a stylized asset allocation strategy. We find that cay does not contain predictive power prior to World War II, when a structural break occurs for all countries. In the postwar period, while statistical tests provide mixed evidence, economic criteria uncover substantial predictive power in cay, further enhanced when allowing for economically meaningful restrictions. (C) 2009 Elsevier B.V. All rights reserved.

Item Type: Journal Article
Subjects: H Social Sciences > HG Finance
H Social Sciences > HC Economic History and Conditions
Divisions: Faculty of Social Sciences > Warwick Business School > Finance Group
Faculty of Social Sciences > Warwick Business School
Journal or Publication Title: Journal of Empirical Finance
Publisher: Elsevier
ISSN: 0927-5398
Official Date: June 2010
Dates:
DateEvent
June 2010Published
Volume: Vol.17
Number: No.3
Number of Pages: 19
Page Range: pp. 313-331
DOI: 10.1016/j.jempfin.2009.10.003
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

Data sourced from Thomson Reuters' Web of Knowledge

Request changes or add full text files to a record

Repository staff actions (login required)

View Item View Item
twitter

Email us: wrap@warwick.ac.uk
Contact Details
About Us