Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/10362
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dc.contributor.authorCaporale, GM-
dc.contributor.authorSousa, RM-
dc.date.accessioned2015-03-09T15:39:11Z-
dc.date.available2015-
dc.date.available2015-03-09T15:39:11Z-
dc.date.issued2015-
dc.identifier.citationResearch in International Business and Finance, In Press, (2015)en_US
dc.identifier.issn0275-5319-
dc.identifier.urihttp://www.sciencedirect.com/science/article/pii/S0275531915000021-
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/10362-
dc.description.abstractWe 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.en_US
dc.description.sponsorshipOperational Programme for Competitiveness Factors - COMPETE and by National Funds through the FCT - Portuguese Foundation for Science and Technology within the remit of the project “FCOMP-01-0124-FEDER-037268 (PEst-C/EGE/UI3182/2013)”.en_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.subjectConsumptionen_US
dc.subjectWealthen_US
dc.subjectStock returnsen_US
dc.subjectHousing returnsen_US
dc.subjectEmerging marketsen_US
dc.titleConsumption, wealth, stock and housing returns: Evidence from emerging marketsen_US
dc.typeArticleen_US
dc.identifier.doihttp://dx.doi.org/10.1016/j.ribaf.2015.01.001-
dc.relation.isPartOfResearch in International Business and Finance-
dc.relation.isPartOfResearch in International Business and Finance-
pubs.organisational-data/Brunel-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance/Economics and Finance-
Appears in Collections:Dept of Economics and Finance Research Papers

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