This paper studies the role of fluctuation of the aggregate consumption-wealth ratio(cay) for predicting Taiwan stock return. The effect of cay on U.S. stock return has been recently confirmed by Lettau and Ludvigson (2001) with a two stage method. In the first step, estimate the ratio used a dynamic least square(DLS) technique. Second, to investigate the performance of cay, they use in-sample and out-of-sample test. In this paper, we follow the method which Lettau and Ludvigson(2001) use to examine the predictability of cay. Using quarterly market data from 1998 to 2010, we find cay is strong predictors of excess return in out-of sample test. We also find that this ratio is a better forecaster of future returns at intermediate horizons compared to short time.