FYI: There is a large body of literature on stock return predictability, with most predictive variables being financial variables such as the earnings yield (E/P), dividend yield (D/P) and the Shiller CAPE 10 ratio. However, there is not much evidence in favor of returns being predictable from aggregate consumption data. Stig Vinther Moller contributes to the literature on expected equity returns with his November 2017 study, “Cyclical Consumption and Time-Variation in Expected Stock Returns.”
Regards,
Ted
http://www.etf.com/sections/index-investor-corner/swedroe-consumptions-impact-returns
