Predicting the U.S. bear stock market using the consumption-wealth ratio

This paper examines the predictive ability of the consumption-wealth ratio for the U.S. bear stock market using quarterly data on the S&P500 index. By evaluating the in-sample and out-of-sample performance with, respectively, the Pseudo-$R^2$ and the quadratic probability score, it is found that the consumption-wealth ratio is a useful leading indicator in predicting bear markets.

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Year of publication:	2012
Authors:	Wu, Shue-Jen ; Lee, Wei-Ming
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 32.2012, 4, p. 3174-3181
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Classification:	G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011278534