Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/11971
Título: | Building proxies that capture time-variation in expected returns using a VAR approach |
Autor(es): | Sousa, Ricardo M. |
Palavras-chave: | Expectations Shocks Asset returns wealth, Consumption Housing share Income |
Data: | 2011 |
Editora: | Routledge |
Revista: | Applied Financial Economics |
Citação: | "Applied Financial Economics." ISSN 0960-3107. 21:3 (2011) 147-163. |
Resumo(s): | I use the consumer's budget constraint to derive a relationship between stock market returns, the residuals of the trend relationship among consumption, aggregate wealth, and labour income, and three major sources of risk: future changes in the housing consumption share, future labour income growth, and future consumption growth. I model the joint dynamics of changes in the housing consumption share, consumption growth, wealth growth, income growth, asset returns, consumptionwealth ratio and dividend-price ratio, and show that asset returns largely reflect expectations about long-run risk. On the other hand, unexpected shocks play a negligible role in the context of forecasting future asset returns. Combining the intertemporal budget constraint and the forecasting properties of an informative Vector-Autogression (VAR), one can, therefore, generate the predictability of many economically motivated variables developed in the literature on asset pricing, and accommodate the implications of a wide class of optimal models of consumer behaviour without imposing a functional form on preferences. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/11971 |
DOI: | 10.1080/09603107.2010.528358 |
ISSN: | 0960-3107 1466-4305 |
Versão da editora: | http://www.informaworld.com/ |
Arbitragem científica: | yes |
Acesso: | Acesso aberto |
Aparece nas coleções: | NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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BuildingProxies_2011.pdf | Building proxies | 293,02 kB | Adobe PDF | Ver/Abrir |