Does Disposable Income Predict Consumption and StockReturns?

• Main Authors: Yu-Li Wang, 汪育立
• Other Authors: 許耀文
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/91048945257170070699

碩士 === 國立臺灣大學 === 國際企業學研究所 === 96 === We rewrite the utility function as the second-order Taylor’s series under the basic assumptions of Consumption-based CAPM. We then show the growth rate of disposable income can affect the growth rate of consumption. Campbell (2003) argues that the growth rate of consumption have influence on the excess return of assets. Based on this point and our finding, we show that one of the risks of the market portfolio can arise from the growth rate of disposable income. A regression of the risk premium of market portfolio on lagged value of the growth rate of disposable income produces statistically significant coefficients using the empirical data of Taiwan and Japan.