文章基本信息

标题：Predicting the U.S. bear stock market using the consumption-wealth ratio
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作者：Shue-Jen Wu ; Wei-Ming Lee
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2012
卷号：32
期号：4
页码：3174-3181
出版社：Economics Bulletin
摘要：This paper examines the predictive ability of the consumption-wealth ratio for the U.S. bear stock market using quarterly data on the S&P500 index. By evaluating the in-sample and out-of-sample performance with, respectively, the Pseudo-$R^2$ and the quadratic probability score, it is found that the consumption-wealth ratio is a useful leading indicator in predicting bear markets.