Wealth-to-income ratio and stock returns: evidence from the Euro Area

被引：6
|
作者：
Sousa, Ricardo M. [1 ,2 ]
机构：
[1] London Sch Econ, FMG, London WC2A 2AE, England
[2] Univ Minho, Dept Econ, Econ Policies Res Unit NIPE, P-4710057 Braga, Portugal
来源：
APPLIED ECONOMICS LETTERS | 2012年 / 19卷 / 07期
关键词：
wealth; labour income; stock returns; Euro Area;
D O I：
10.1080/13504851.2011.591723
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
I find that when the ratio of asset wealth to human wealth falls, investors become more exposed to labour income shocks and demand a higher risk premium for stocks. I show that the residuals of the trend relationship among wealth and labour income, wy, predict future stock returns in the Euro Area. The results are robust to additional control variables and show the superiority of wy vis-a-vis other benchmark models.
引用
收藏
页码：619 / 622
页数：4
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