| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5086247 | Japan and the World Economy | 2013 | 13 Pages |
Abstract
⺠We construct a Japanese consumption-wealth ratio (CAY) data series following the works of Lettau and Ludvigson for the US. ⺠We propose new CAY that more explicitly deal with household real estate wealth utilizing Japanese aggregate-level data. ⺠Such “real estate augmented” CAY performs better in explaining Japanese stock market data. ⺠Japanese CAY does predict future stock returns, but the evidence is weaker than that from US data. ⺠Japanese CAY also helps to explain cross-sectional Japanese stock returns.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Kohei Aono, Tokuo Iwaisako,