The decay of cay
重新检验消费财富比(cay)对股市回报的预测能力，发现近二十年预测力显著下降，原因是资产财富与消费、劳动收入日益脱节。基于最富10%家庭构建的新cay是更有效的经验代理。
We revisit the ability of the consumption–wealth ratio ( c a y ) to forecast stock market returns and document a substantial decline in predictability over the last two decades. This decay of c a y goes along with a structural shift in the underlying cointegration relationship, which can be attributed to the fact that asset wealth evolves increasingly detached from aggregate consumption and labor income. We propose a new version of c a y derived only from the top 10% richest households and show that among various other proposed improvements of c a y , this appears as the most promising empirical proxy for the still appealing theory.