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Identifier to cite or link to this item: https://hdl.handle.net/10086/13635

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Title
The Consumption-Wealth Ratio and the Japanese Stock Market
Creator
Creator Name
Aono, Kohei Aono, Kohei
青野, 幸平 青野, 幸平
アオノ, コウヘイ アオノ, コウヘイ
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
Iwaisako, Tokuo Iwaisako, Tokuo
祝迫, 得夫 祝迫, 得夫
イワイサコ, トクオ イワイサコ, トクオ
Affiliation
Affiliation Name
Hitotsubashi University
Editor
Contributor Name
日本経済の物価変動ダイナミクスの解明 = Understanding Inflation Dynamics of the Japanese Economy
Key Word
Consumption-wealth ratio
Cointegration
Cross-section of stock returns
JEL
G12
E21
E23
N12
Abstract
Following Lettau and Ludvigson (2001a,b), we examine whether the consumption-wealth ratio can explain Japanese stock market data. We construct the data series cayt, the residuals from the cointegration relationship between the consumption and the total wealth of households. Unlike the US results, cayt does not predict future Japanese stock returns. On the other hand, it does help to explain the crosssection of Japanese stock returns of industry portfolios. In the US case, cayt is used as a scaling variable that explains time variation in the market beta. In the Japanese case, the movement of cayt is interpreted as the change in the constant terms, hence the change in average stock returns. We also propose to improve cayt by taking real estate wealth into consideration.
Description
March 26, [2007] -- Cover
First draft: January 2006; March 22, 2007
Publisher
Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University
Issued Date
2007-03-26
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Working Paper Series ; No. 9
Number of Pages
20
Sponsorship
日本学術振興会・科学研究費補助金（学術創成研究費） = JSPS Grant-in-Aid for Creative Scientific Research
Appears in Collections
Working Paper Series / Understanding Inflation Dynamics of the Japanese Economy
URL
https://hdl.handle.net/10086/13635