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Title: Consumption, wealth, stock and housing returns: Evidence from emerging markets
Authors: Caporale, GM
Sousa, RM
Keywords: Consumption;Wealth;Stock returns;Housing returns;Emerging markets
Issue Date: 2015
Publisher: Elsevier
Citation: Research in International Business and Finance, In Press, (2015)
Abstract: We test the predictive ability of the transitory deviations of consumption from its common trend with aggregate wealth and labour income, cay, for both future equity and housing risk premia in emerging market economies. Using quarterly data for 31 markets, our country-level evidence shows that forecasting power of cay vis-à-vis stock returns is high for Brazil, China, Colombia, Israel, Korea, Latvia, and Malaysia. As for housing returns, the empirical evidence suggests that financial and housing assets are perceived as complements in the case of Chile, Russia, South Africa and Thailand, and as substitutes in Argentina, Brazil, Hong Kong, Indonesia, Korea, Malaysia, Mexico and Taiwan. Using a panel econometric framework, we find that the cross-country heterogeneity observed in asset return predictability does not accrue to regional location, but can be attributed to differences in the degree of equity market development and in the level of income.
ISSN: 0275-5319
Appears in Collections:Dept of Economics and Finance Research Papers

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