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Shue-Jen Wu and Wei-Ming Lee
''Predicting the U.S. bear stock market using the consumption-wealth ratio''
( 2012, Vol. 32 No.4 )
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.
Manuscript Received : Nov 06 2012 Manuscript Accepted : Nov 19 2012

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