Consumption Fluctuations and Expected Returns
提出一个基于消费的新变量：周期性消费，发现当总消费相对于趋势下降时，未来股票预期收益会上升，且该预测力不限于经济低迷时期，优于许多常用预测变量。
ABSTRACT This paper introduces a novel consumption‐based variable, cyclical consumption, and examines its predictive properties for stock returns. Future expected stock returns are high (low) when aggregate consumption falls (rises) relative to its trend and marginal utility from current consumption is high (low). We show that the empirical evidence ties consumption decisions of agents to time variation in returns in a manner consistent with asset pricing models based on external habit formation. The predictive power of cyclical consumption is not confined to bad times and subsumes the predictability of many popular forecasting variables.