Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries

Does inequality help in forecasting equity premium in a panel of G7 countries?

“…Forecasting stock returns and/or equity premium -which has been in the centre of several studies using both time series and panel data-based approaches (see for example, Rapach et al, (2005, Sousa (2010), Sousa (2011), Sousa (2015aSousa ( , 2015b, Afonso and Sousa (2011), Sousa (2012), Rocha Armada et al (2015, Caporale and Sousa (2016), Sousa et al, (2016), De Castro andIssler (2016), Aye et al, (2017), Costantini and Sousa (2020)) -is an interesting question for at least two reasons. First, practitioners in finance require real-time forecasts of stock returns for asset allocation.…”

Consumption, asset wealth, equity premium, term spread, and flight to quality

“…Panel frameworks have been used in Caporale and Sousa (), Caporale, Sousa and Wohar (), and De Castro and Issler ().…”