Wealth-to-income ratio and stock returns : evidence from the Euro Area
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....
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| Format: | article |
| Language: | eng |
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2012
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| Online Access: | http://hdl.handle.net/1822/20014 |
| Country: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/20014 |