Search Results - subject:"Surplus consumption ratio"

Surplus Consumption Ratio and Expected Stock Returns.

Ghattassi, I. - Banque de France - 2013

surplus consumption ratio is a strong predictor of excess returns at long-horizons and that it captures a component of …

Persistent link: https://www.econbiz.de/10010815980

Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns

Møller, Stig V. - School of Economics and Management, University of Aarhus - 2007

This paper finds empirical support for the habit persistence model of Camp- bell and Cochrane (1999) along both cross sectional and time-series dimensions of the US stock market. GMM estimations show that the model is able to explain a substantial part of the cross sectional variation of returns...

Persistent link: https://www.econbiz.de/10005787554

Habit Formation, Surplus Consumption and Return Predictability: International Evidence

Engsted, Tom; Hyde, Stuart; Møller, Stig V. - School of Economics and Management, University of Aarhus - 2007

-Cochrane (1999) habit formation model. In addition, we analyze the predictive power of the surplus consumption ratio for future asset … countries the surplus consumption ratio captures time-variation in expected returns. Together with the price-dividend ratio, the … surplus consumption ratio contains significant information about future stock returns, also during the 1990s. Finally, in most …

Persistent link: https://www.econbiz.de/10005114136