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- Title
Consumption, Wealth and Expected Stock Returns in Australia.
- Authors
FISHER, LANCE A.; VOSS, GRAHAM M.
- Abstract
The present paper investigates the relationship between consumption, labour income and household wealth in Australia within the inter-temporal consumption framework developed by Lettau and Ludvigson (2001). We first test for a long-run relationship among these series and then investigate whether private dissaving, measured as the deviation from the estimated relationship, has information content for future stock returns. We find that private dissaving has predictive power for quarterly returns on the ASX200 and for returns over long holding periods. The recent substantial decline in private dissaving suggests that consumers view the recent surge in non-financial wealth as transitory and expect a correction.
- Subjects
AUSTRALIA; CONSUMPTION (Economics); WEALTH; AUSTRALIAN economy; INCOME; HOUSEHOLDS
- Publication
Economic Record, 2004, Vol 80, Issue 251, p359
- ISSN
0013-0249
- Publication type
Article
- DOI
10.1111/j.1475-4932.2004.00194.x