Preprintgreen2010

Time-varying expected returns : evidence from the U.S. and the U.K

17 citations0/0 files storedRePEc: Research Papers in Economics

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

Abstract

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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1988Dividend yields and expected stock returns 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors 2001Consumption, Aggregate Wealth, and Expected Stock Returns 1987Mean Reversion in Stock Prices: Evidence and Implications 2011How Does Political Instability Affect Economic Growth?2006Liquidity and Asset Prices 2006Housing, consumption and asset pricing 2006A Consumption‐Based Explanation of Expected Stock Returns

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