The Household Equity Share and Expected Market Returns
SSRN Electronic Journal
2016
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Example: if you select the 1-year option for an article published in 2019 and a metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019. If you select the 3-year option for the same article published in 2019 and the metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019, 2018 and 2017.
Citation Benchmarking is provided by Scopus and SciVal and is different from the metrics context provided by PlumX Metrics.
Article Description
The “Household Equity Share” (HEShare), the share of the household sector's equity and credit assets allocated to equities, is a negative predictor of excess returns on the US stock market. When the household sector has a higher equity share, future excess returns to equities are lower on average. This predictability is robust to the definition of the asset classes, first versus second half of sample, and adjusting for finite sample bias. HEShare outperforms many popular forecasters of market returns, including the cyclically adjusted price-earnings ratio, the equity share in new issuances, and the consumption-wealth ratio. Our results suggest that household holdings of financial assets play an important role in setting asset prices and risk premia.
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