References
- Afonso, A. and Sousa, R. M. (2011) Consumption, wealth, stock and government bond returns: international evidence, The Manchester School, 79, 1294–332.
- Ang, A. and Bekaert, G. (2007) The predictability of equity returns: is it there?, Review of Financial Studies, 20, 651–707.
- Bansal, R. and Yaron, A. (2004) Risks for the long run: a potential resolution of asset pricing puzzles, Journal of Finance, 59, 1481–509.
- Breeden, D. T. (1979) An intertemporal asset pricing model with stochastic consumption and investment opportunities, Journal of Financial Economics, 7, 265–96.
- Campbell, J. Y., Lo, A. W. and MacKinlay, A. C. (1997) The Econometrics of Financial Markets, Princeton University Press, Princeton, NJ.
- Campbell, J. Y. and Mankiw, N. G. (1989) Consumption, income and interest rates: reinterpreting the time series evidence, in National Bureau of Economic Research Macroeconomics Annual 1989, O. J. Blanchard and S. Fischer (Eds), MIT Press, Cambridge, MA, pp. 185–216.
- Campbell, J. Y. and Shiller, R. J. (1988) Stock prices, earnings, and expected dividends, Journal of Finance, 43, 661–76.
- Campbell, J. Y. and Thompson, S. B. (2008) Predicting excess stock returns out of sample: can anything beat the historical average?, Review of Financial Studies, 21, 1509–31.
- Campbell, J. Y. and Yogo, M. (2006) Efficient tests of stock return predictability, Journal of Financial Economics, 81, 27–60.
- Case, K. E., Quigley, J. M. and Shiller, R. J. (2005) Comparing wealth effects: the stock market vs. the housing market, Advances in Macroeconomics, 5, 1–34.
- Chapman, D. A. (1997) The cyclical properties of consumption growth and the real-term structure, Journal of Monetary Economics, 39, 145–72.
- Cooper, I. and Priestley, R. (2009) Time-varying risk premiums and the output gap, Review of Financial Studies, 22, 2601–33.
- Diebold, F. and Mariano, R. (1995) Comparing predictive accuracy, Journal of Business and Economic Statistics, 13, 253–63.
- Duffee, G. (2005) Time variation in the covariance between stock returns and consumption growth, Journal of Finance, 60, 1673–712.
- Fama, E. and French, K. (1988) Dividend yields and expected stock returns, Journal of Financial Economics, 22, 3–25.
- Goyal, A. and Welch, I. (2003) Predicting the equity premium with dividend ratios, Management Science, 49, 639–54.
- Goyal, A. and Welch, I. (2008) A comprehensive look at the empirical performance of equity premium prediction, Review of Financial Studies, 21, 1455–508.
- Hall, R. (2001) The stock market and capital accumulation, American Economic Review, 91, 1185–202.
- Hansen, L. P. (1982) Large sample properties of generalized method of moments estimators, Econometrica, 50, 1029–54.
- Harvey, D. I., Leybourne, S. J. and Newbold, P. (1998) Tests for forecast encompassing, Journal of Business and Economic Statistics, 16, 254–9.
- Hasanov, F. and Dacy, D. (2009) Yet another view on why a home is one’s castle, Real Estate Economics, 37, 23–41.
- Jagannathan, R. and Wang, Z. (1996) The conditional CAPM and the cross-section of expected returns, Journal of Finance, 51, 3–53.
- Julliard, C. (2007) Labor income risk and asset returns, Working Paper, London School of Economics, London.
- Lettau, M. and Ludvigson, S. (2001) Consumption, aggregate wealth and expected stock returns, Journal of Finance, 56, 815–49.
- Lewellen, J. W. (2004) Predicting returns with financial ratios, Journal of Financial Economics, 74, 209–35.
- Lucas, R. E. (1978) Asset prices in an exchange economy, Econometrica, 46, 1429–45.
- Piazzesi, M., Schneider, M. and Tuzel, S. (2007) Housing, consumption, and asset pricing, Journal of Financial Economics, 83, 531–69.
- Quijano, M. (2012) A refined consumption–wealth ratio and its role on time-varying consumption risk, Economics Letters, 115, 88–90.
- Sousa, R. M. (2010) Consumption, (dis)aggregate wealth, and asset returns, Journal of Empirical Finance, 17, 606–22.
- Sousa, R. M. (2011) Building proxies that capture time-variation in expected returns using a VAR approach, Applied Financial Economics, 21, 147–63.
- Sousa, R. M. (2012a) Wealth-to-income ratio and stock returns: evidence from the Euro Area, Applied Economics Letters, 19, 619–22.
- Sousa, R. M. (2012b) Wealth-to-income ratio, government bond yields and financial stress in the Euro Area, Applied Economics Letters, 19, 1085–8.
- Sousa, R. M. (2013, forthcoming) Linking wealth and labour income with stock returns and government bond yields, European Journal of Finance.
- Stambaugh, R. F. (1999) Predictive regressions, Journal of Financial Economics, 54, 375–421.