Work

Time-varying expected returns: evidence from the United States and the United Kingdom

Year: 2011

Type: article

Abstract: I assess the relative performance of several exmpirical proxies developed in the literature of asset pricing to capture time variation in expected future returns using data for the United States and the United Kingdom. I show that the wealth composition risk by Sousa (2010a Sousa, R. M. 2010a. Consumption, (dis)aggregate wealth, and asset returns. Journal of Empirical Finance, 17: 606–22. [Crossref], [Web of Science ®] , [Google Scholar]) exhibits strong forecasting power and tracks risk premium better than many economically motivated variables.

Source: Applied Economics Letters

DOI: 10.1080/13504851.2011.581202

Author: Ricardo M. Sousa

Institutions: London School of Economics and Political Science, University of Minho

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: Economic and Social Research Council, Fundação para a Ciência e a Tecnologia

Award: MERCADO ACCIONISTA E DESPESA EM BENS DE CONSUMO DURADOURO