Time-varying expected returns : evidence from the U.S. and the U.K

I assess the relative performance of several empirical proxies developed in the literature of asset pricing to capture time-variation in expected future returns using data for the U.S. and the U.K.. I show that the wealth composition risk by Sousa (2010) exhibits strong forecasting power.

Bibliographic Details
Main Author: Sousa, Ricardo M. (author)
Format: workingPaper
Language:eng
Published: 2010
Subjects:
Asset pricing
Wealth
Empirical proxies
Expected returns
Online Access:http://hdl.handle.net/1822/11710
Country:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/11710
Description
Summary:I assess the relative performance of several empirical proxies developed in the literature of asset pricing to capture time-variation in expected future returns using data for the U.S. and the U.K.. I show that the wealth composition risk by Sousa (2010) exhibits strong forecasting power.

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