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英文文献：Consumption growth and time-varying expected stock returns-消费增长和时变的预期股票回报
英文文献作者：Stig Vinther M?ller
英文文献摘要：
When the consumption growth rate is measured based upon fourth quarter data, it tracks predictable variation in future excess stock returns. Low fourth quarter consumption growth rates predict high future excess stock returns such that expected returns are high at business cycle troughs and low at business cycle peaks. The consumption growth rate loses predictive power when it is measured based upon other quarters. This is consistent with the insight of Jagannathan and Wang (2007) that investors tend to review their consumption and investment plans during the end of each calendar year, and at possibly random times in between. The consumption growth rate measured based upon fourth quarter data is a much stronger predictive variable than benchmark predictive variables such as the dividend-price ratio, the term spread, and the default spread.
当基于第四季度数据来衡量消费增长率时，它跟踪的是未来超额股票回报的可预测变化。第四季度消费增长率较低，预示着未来的超额库存回报率会很高，因此，在商业周期低谷时，预期回报率会很高，在商业周期高峰时，预期回报率会很低。如果按其他季度来衡量，消费增长率就失去了预测能力。这与Jagannathan和Wang(2007)的观点是一致的，即投资者倾向于在每个日历年的末尾，以及中间可能是随机的时间回顾他们的消费和投资计划。基于第四季度数据衡量的消费增长率是一个比基准预测变量(如股息价格比、期限利差和违约利差)更强的预测变量。
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