Weak-Form and Semi-Strong-Form Stock Return Predictability Revisited
Management Science
The relationship between market sentiment and equity premium: an artificial neural network analysis
International Journal of Electronic Finance
System modeling for the impact of global warming on equity price
ICCOMP'08 Proceedings of the 12th WSEAS international conference on Computers
Momentum and Mean Reversion in Strategic Asset Allocation
Management Science
Dividend Smoothing and Predictability
Management Science
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Our paper suggests a simple, recursive residuals (out-of-sample) graphical approach to evaluating the predictive power of popular equity premium and stock market time-series forecasting regressions. When applied, we find that dividend ratios should have been known to have no predictive ability even prior to the 1990s, and that any seeming ability even then was driven by only two years, 1973 and 1974. Our paper also documents changes in the time-series processes of the dividends themselves and shows that an increasing persistence of dividend-price ratio is largely responsible for the inability of dividend ratios to predict equity premia. Cochrane's (1997) accounting identity--that dividend ratios have to predict long-run dividend growth or stock returns--empirically holds only over horizons longer than 5--10 years. Over shorter horizons, dividend yields primarily forecast themselves.