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Predicting the Equity Premium With Dividend Ratios

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Cited by:

  1. Martin Lettau & Stijn Van Nieuwerburgh, 2008. "Reconciling the Return Predictability Evidence," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1607-1652, July.
  2. Leopoldo Catania & Nima Nonejad, 2016. "Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models," Papers 1605.00230, arXiv.org, revised Nov 2016.
  3. López Gaviria, José Ignacio, 2019. "Predictibilidad del mercado accionario colombiano," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 91, pages 117-150, July.
  4. Puneet Handa, 2006. "Does Stock Return Predictability Imply Improved Asset Allocation and Performance? Evidence from the U.S. Stock Market (1954–2002)," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2423-2468, September.
  5. Hashmat Khan & Santosh Upadhayaya, 2020. "Does business confidence matter for investment?," Empirical Economics, Springer, vol. 59(4), pages 1633-1665, October.
  6. Kam Fong Chan & John G. Powell & Jing Shi & Tom Smith, 2018. "Dividend persistence and dividend behaviour," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(1), pages 127-147, March.
  7. Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2011. "Asymmetric loss functions and the rationality of expected stock returns," International Journal of Forecasting, Elsevier, vol. 27(2), pages 413-437.
  8. Li, Xiyang & Chen, Xiaoyue & Li, Bin & Singh, Tarlok & Shi, Kan, 2022. "Predictability of stock market returns: New evidence from developed and developing countries," Global Finance Journal, Elsevier, vol. 54(C).
  9. Rossi, Barbara & Odendahl, Florens & Sekhposyan, Tatevik, 2020. "Comparing Forecast Performance with State Dependence," CEPR Discussion Papers 15217, C.E.P.R. Discussion Papers.
  10. Markus Hertrich, 2019. "A Novel Housing Price Misalignment Indicator for Germany," German Economic Review, Verein für Socialpolitik, vol. 20(4), pages 759-794, November.
  11. Beyer, Deborah B. & Fan, Zaifeng S., 2023. "The calming effects of conflict: The impact of partisan conflict on market volatility," International Review of Financial Analysis, Elsevier, vol. 85(C).
  12. Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 235-256.
  13. Schrimpf, Andreas, 2010. "International stock return predictability under model uncertainty," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1256-1282, November.
  14. Roel van Elk & Marc van der Steeg & Dinand Webbink, 2013. "The effects of a special program for multi-problem school dropouts on educational enrolment, employment and criminal behaviour; Evidence from a field experiment," CPB Discussion Paper 241.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  15. Avdoulas, Christos & Bekiros, Stelios & Boubaker, Sabri, 2016. "Detecting nonlinear dependencies in eurozone peripheral equity markets: A multistep filtering approach," Economic Modelling, Elsevier, vol. 58(C), pages 580-587.
  16. Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano, 2021. "Forecasting stock returns with large dimensional factor models," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 252-269.
  17. Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2016. "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 63(3), pages 273-291.
  18. Ryan Bartens & Shakill Hassan, 2010. "Value, size and momentum portfolios in real time: the cross section of South African stocks," Australian Journal of Management, Australian School of Business, vol. 35(2), pages 181-202, August.
  19. González-Rivera, Gloria & Sun, Yingying, 2017. "Density forecast evaluation in unstable environments," International Journal of Forecasting, Elsevier, vol. 33(2), pages 416-432.
  20. Odendahl, Florens & Rossi, Barbara & Sekhposyan, Tatevik, 2023. "Evaluating forecast performance with state dependence," Journal of Econometrics, Elsevier, vol. 237(2).
  21. Ma, Feng & Wang, Ruoxin & Lu, Xinjie & Wahab, M.I.M., 2021. "A comprehensive look at stock return predictability by oil prices using economic constraint approaches," International Review of Financial Analysis, Elsevier, vol. 78(C).
  22. Lettau, Martin & Ludvigson, Sydney C., 2005. "Expected returns and expected dividend growth," Journal of Financial Economics, Elsevier, vol. 76(3), pages 583-626, June.
  23. Yin, Libo & Nie, Jing, 2021. "Adjusted dividend-price ratios and stock return predictability: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 73(C).
  24. Devpura, Neluka & Narayan, Paresh Kumar & Sharma, Susan Sunila, 2019. "Structural instability and predictability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  25. Srivastava, Sasha & Lin, Hai & Premachandra, Inguruwatte M. & Roberts, Helen, 2016. "Global risk spillover and the predictability of sovereign CDS spread: International evidence," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 371-390.
  26. Catherine Georgiou, 2022. "Modifications on Book-Valued Ratios," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 15(3), pages 24-37, December.
  27. Tim Bollerslev & George Tauchen & Hao Zhou, 2009. "Expected Stock Returns and Variance Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
  28. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
  29. Salisu, Afees A. & Adekunle, Wasiu & Alimi, Wasiu A. & Emmanuel, Zachariah, 2019. "Predicting exchange rate with commodity prices: New evidence from Westerlund and Narayan (2015) estimator with structural breaks and asymmetries," Resources Policy, Elsevier, vol. 62(C), pages 33-56.
  30. Georges Prat, 2010. "Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?," Working Papers hal-04140905, HAL.
  31. Favero, Carlo A. & Gozluklu, Arie E. & Tamoni, Andrea, 2011. "Demographic Trends, the Dividend-Price Ratio, and the Predictability of Long-Run Stock Market Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(5), pages 1493-1520, October.
  32. Margot Quijano, 2013. "Consumption, change in expectations and equity returns," Applied Financial Economics, Taylor & Francis Journals, vol. 23(24), pages 1839-1851, December.
  33. Clark, Todd E. & West, Kenneth D., 2006. "Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 155-186.
  34. Eduardo Ramos-Pérez & Pablo J. Alonso-González & José Javier Núñez-Velázquez, 2021. "Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility," Mathematics, MDPI, vol. 9(15), pages 1-18, July.
  35. Chiquoine, Benjamin & Hjalmarsson, Erik, 2009. "Jackknifing stock return predictions," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 793-803, December.
  36. Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A comprehensive look at financial volatility prediction by economic variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 956-977, September.
  37. Biqing Cai & Jiti Gao, 2017. "A simple nonlinear predictive model for stock returns," Monash Econometrics and Business Statistics Working Papers 18/17, Monash University, Department of Econometrics and Business Statistics.
  38. Peter Sephton, 2005. "Predicting the equity premium with dividend ratios: a matter of balance," Applied Economics Letters, Taylor & Francis Journals, vol. 12(3), pages 145-147.
  39. Ma, Feng & Lu, Fei & Tao, Ying, 2022. "Geopolitical risk and excess stock returns predictability: New evidence from a century of data," Finance Research Letters, Elsevier, vol. 50(C).
  40. Kock, Anders Bredahl & Teräsvirta, Timo, 2014. "Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009," International Journal of Forecasting, Elsevier, vol. 30(3), pages 616-631.
  41. Michael Cooper & Huseyin Gulen, 2006. "Is Time-Series-Based Predictability Evident in Real Time?," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1263-1292, May.
  42. John Sabelhaus, 2005. "Alternative Methods for Projecting Equity Returns: Implications for Evaluating Social Security Reform Proposals," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 8(1), pages 43-63, March.
  43. Josh Davis & Alan M. Taylor, 2022. "The Leverage Factor: Credit Cycles and Asset Returns," Management Science, INFORMS, vol. 68(10), pages 7350-7361, October.
  44. Davis, E. Philip & Madsen, Jakob B., 2008. "Productivity and equity market fundamentals: 80 years of evidence for 11 OECD countries," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1261-1283, December.
  45. Jurdi, Doureige & Kim, Jae, 2019. "Predicting the U.S. Stock Market Return: Evidence from the Improved Augmented Regression Method," MPRA Paper 94028, University Library of Munich, Germany.
  46. Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 2008. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 331-353, June.
  47. Dellas, Harris & Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2018. "The macroeconomic and fiscal implications of inflation forecast errors," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 203-217.
  48. Daniel Mantilla-García & Vijay Vaidyanathan, 2017. "Predicting stock returns in the presence of uncertain structural changes and sample noise," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 357-391, August.
  49. John H. Cochrane, 2008. "The Dog That Did Not Bark: A Defense of Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1533-1575, July.
  50. Chen, Haiqiang & Fang, Ying & Li, Yingxing, 2015. "Estimation And Inference For Varying-Coefficient Models With Nonstationary Regressors Using Penalized Splines," Econometric Theory, Cambridge University Press, vol. 31(4), pages 753-777, August.
  51. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Long-Run Regressions: Theory and Application to US Asset Markets," Finance 0410018, University Library of Munich, Germany.
  52. Semenov, Andrei, 2021. "Measuring the stock's factor beta and identifying risk factors under market inefficiency," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 635-649.
  53. Maio, Paulo, 2016. "Cross-sectional return dispersion and the equity premium," Journal of Financial Markets, Elsevier, vol. 29(C), pages 87-109.
  54. John Y. Campbell, 2008. "Viewpoint: Estimating the equity premium," Canadian Journal of Economics, Canadian Economics Association, vol. 41(1), pages 1-21, February.
  55. Clark, Todd E. & West, Kenneth D., 2007. "Approximately normal tests for equal predictive accuracy in nested models," Journal of Econometrics, Elsevier, vol. 138(1), pages 291-311, May.
  56. Maenhout, Pascal J., 2006. "Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium," Journal of Economic Theory, Elsevier, vol. 128(1), pages 136-163, May.
  57. Hammerschmid, Regina & Lohre, Harald, 2018. "Regime shifts and stock return predictability," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 138-160.
  58. Görtz, Christoph & Yeromonahos, Mallory, 2022. "Asymmetries in risk premia, macroeconomic uncertainty and business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
  59. Mittnik, Stefan & Robinzonov, Nikolay & Spindler, Martin, 2015. "Stock market volatility: Identifying major drivers and the nature of their impact," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 1-14.
  60. Guo, Hui & Savickas, Robert, 2006. "Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 43-56, January.
  61. Todd E. Clark & Michael W. McCracken, 2009. "Combining Forecasts from Nested Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(3), pages 303-329, June.
  62. Todd E. Clark & Michael W. McCracken, 2010. "Reality checks and nested forecast model comparisons," Working Papers 2010-032, Federal Reserve Bank of St. Louis.
  63. Gupta, Rangan & Modise, Mampho P., 2013. "Macroeconomic Variables and South African Stock Return Predictability," Economic Modelling, Elsevier, vol. 30(C), pages 612-622.
  64. Thomas Dimpfl & Stephan Jank, 2016. "Can Internet Search Queries Help to Predict Stock Market Volatility?," European Financial Management, European Financial Management Association, vol. 22(2), pages 171-192, March.
  65. Willi Semmler, 2011. "Asset Prices, Booms and Recessions," Springer Books, Springer, number 978-3-642-20680-1, December.
  66. John Y. Campbell & Samuel B. Thompson, 2008. "Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1509-1531, July.
  67. Henkel, Sam James & Martin, J. Spencer & Nardari, Federico, 2011. "Time-varying short-horizon predictability," Journal of Financial Economics, Elsevier, vol. 99(3), pages 560-580, March.
  68. Sousa, Ricardo M. & Vivian, Andrew & Wohar, Mark E., 2016. "Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 122-143.
  69. Lorenzo Camponovo & O. Scaillet & Fabio Trojani, 2013. "Predictability Hidden by Anomalous Observations," Swiss Finance Institute Research Paper Series 13-05, Swiss Finance Institute.
  70. Haibin Xie & Shouyang Wang, 2015. "Risk-return trade-off, information diffusion, and U.S. stock market predictability," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-20, December.
  71. Andrea Buraschi & Andrea Carnelli, 2013. "The economic value of predictability in portfolio management," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 1, pages 5-22, January.
  72. Neri, Marcelo Côrtes, 2014. "Brazil's middle classes," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 759, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  73. Huang, Wei, 2007. "Financial integration and the price of world covariance risk: Large- vs. small-cap stocks," Journal of International Money and Finance, Elsevier, vol. 26(8), pages 1311-1337, December.
  74. John B. Donaldson & Rajnish Mehra, 2021. "Average crossing time: An alternative characterization of mean aversion and reversion," Quantitative Economics, Econometric Society, vol. 12(3), pages 903-944, July.
  75. Guillén, Osmani Teixeira & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2015. "Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 862-875.
  76. Mahdi Moradi & Mehdi Jabbari Nooghabi & Mohammad Mahdi Rounaghi, 2021. "Investigation of fractal market hypothesis and forecasting time series stock returns for Tehran Stock Exchange and London Stock Exchange," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 662-678, January.
  77. McMillan, David G., 2014. "Stock return, dividend growth and consumption growth predictability across markets and time: Implications for stock price movement," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 90-101.
  78. Davide Pettenuzzo & Allan G. Timmermann & Rossen I. Valkanov, 2008. "Return Predictability under Equilibrium Constraints on the Equity Premium," Working Papers 37, Brandeis University, Department of Economics and International Business School.
  79. Prat, Georges, 2013. "Equity risk premium and time horizon: What do the U.S. secular data say?," Economic Modelling, Elsevier, vol. 34(C), pages 76-88.
  80. Michael W. Brandt & Qiang Kang, 2002. "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers 9056, National Bureau of Economic Research, Inc.
  81. Wu, Shue-Jen, 2023. "The role of the past long-run oil price changes in stock market," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 274-291.
  82. Larrain, Borja & Yogo, Motohiro, 2008. "Does firm value move too much to be justified by subsequent changes in cash flow," Journal of Financial Economics, Elsevier, vol. 87(1), pages 200-226, January.
  83. Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, vol. 26(6), pages 1283-1299, November.
  84. Fang, Jiali & Jacobsen, Ben & Qin, Yafeng, 2014. "Predictability of the simple technical trading rules: An out-of-sample test," Review of Financial Economics, Elsevier, vol. 23(1), pages 30-45.
  85. Biao Guo & Qian Han & Jufang Liang & Doojin Ryu & Jinyoung Yu, 2020. "Sovereign Credit Spread Spillovers in Asia," Sustainability, MDPI, vol. 12(4), pages 1-14, February.
  86. Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2016. "Monetary Policy and Asset Valuation," NBER Working Papers 22572, National Bureau of Economic Research, Inc.
  87. Sharma, Susan Sunila, 2016. "Can consumer price index predict gold price returns?," Economic Modelling, Elsevier, vol. 55(C), pages 269-278.
  88. Gene Birz & Erik Devos & Sandip Dutta & Khoa Nguyen & Desmond Tsang, 2022. "Ex-ante performance of REIT portfolios," Review of Quantitative Finance and Accounting, Springer, vol. 59(3), pages 995-1018, October.
  89. Ma, Feng & Lu, Xinjie & Liu, Jia & Huang, Dengshi, 2022. "Macroeconomic attention and stock market return predictability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  90. Jiang, Fuxiu & Jiang, Zhan & Kim, Kenneth A., 2020. "Capital markets, financial institutions, and corporate finance in China," Journal of Corporate Finance, Elsevier, vol. 63(C).
  91. Wayne E. Ferson & Andrea Heuson & Tie Su, 2004. "Weak and Semi-Strong Form Stock Return Predictability, Revisited," NBER Working Papers 10689, National Bureau of Economic Research, Inc.
  92. Zhang, Yue-Jun & Li, Zhao-Chen, 2021. "Forecasting the stock returns of Chinese oil companies: Can investor attention help?," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 531-555.
  93. Giuseppe Alesii, 2006. "Fundamentals Efficiency of the Italian Stock Market: Some Long Run Evidence," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 5(3), pages 245-264, December.
  94. Oliver Linton & Anisha Ghosh, 2007. "Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error," FMG Discussion Papers dp605, Financial Markets Group.
  95. Timmermann, Allan, 2008. "Elusive return predictability," International Journal of Forecasting, Elsevier, vol. 24(1), pages 1-18.
  96. Guidolin, Massimo & McMillan, David G. & Wohar, Mark E., 2013. "Time varying stock return predictability: Evidence from US sectors," Finance Research Letters, Elsevier, vol. 10(1), pages 34-40.
  97. Honghai Yu & Xianfeng Hao & Liangyu Wu & Yuqi Zhao & Yudong Wang, 2023. "Eye in outer space: satellite imageries of container ports can predict world stock returns," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-16, December.
  98. Guo, Hui, 2006. "Time-varying risk premia and the cross section of stock returns," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2087-2107, July.
  99. Tule, Moses K. & Salisu, Afees A. & Chiemeke, Charles C., 2019. "Can agricultural commodity prices predict Nigeria's inflation?," Journal of Commodity Markets, Elsevier, vol. 16(C).
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  101. Alain Abou & Georges Prat, 2009. "The dynamics of U.S. equity risk premia: lessons from professionals'view," Working Papers hal-04140869, HAL.
  102. Nandini Srivastava & Stephen Satchell, 2012. "Are There Bubbles in the Art Market? The Detection of Bubbles when Fair Value is Unobservable," Birkbeck Working Papers in Economics and Finance 1209, Birkbeck, Department of Economics, Mathematics & Statistics.
  103. Jakob B Madsen & E Philip Davis, 2006. "Equity Prices, Productivity Growth and 'The New Economy'," Economic Journal, Royal Economic Society, vol. 116(513), pages 791-811, July.
  104. Straetmans, S.T.M. & Candelon, B. & Ahmed, J., 2012. "Predicting and capitalizing on stock market bears in the U.S," Research Memorandum 019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  105. Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2017. "Predictability and diversification benefits of investing in commodity and currency futures," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 52-66.
  106. Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2014. "Forecasting stock returns under economic constraints," Journal of Financial Economics, Elsevier, vol. 114(3), pages 517-553.
  107. Erik Hjalmarsson, 2006. "Should we expect significant out-of-sample results when predicting stock returns?," International Finance Discussion Papers 855, Board of Governors of the Federal Reserve System (U.S.).
  108. Kim Kaivanto & Peng Zhang, 2019. "Popular Music, Sentiment, and Noise Trading," Working Papers 279326509, Lancaster University Management School, Economics Department.
  109. Piergiorgio Alessandri & Donald Robertson & Stephen Wright, 2008. "Miller and Modigliani, Predictive Return Regressions and Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(2), pages 181-207, April.
  110. Demetrescu, Matei & Rodrigues, Paulo M.M., 2022. "Residual-augmented IVX predictive regression," Journal of Econometrics, Elsevier, vol. 227(2), pages 429-460.
  111. Pástor, Ľuboš & Stambaugh, Robert F. & Taylor, Lucian A., 2020. "Fund tradeoffs," Journal of Financial Economics, Elsevier, vol. 138(3), pages 614-634.
  112. Wu, Shue-Jen & Lee, Wei-Ming, 2015. "Intertemporal risk–return relationships in bull and bear markets," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 308-325.
  113. Zhu, Yingzi & Zhou, Guofu, 2009. "Technical analysis: An asset allocation perspective on the use of moving averages," Journal of Financial Economics, Elsevier, vol. 92(3), pages 519-544, June.
  114. Ivo Welch & Amit Goyal, 2004. "A Note On 'Predicting Returns With Financial Ratios'," Yale School of Management Working Papers amz2465, Yale School of Management.
  115. Bansal, Ravi & Khatchatrian, Varoujan & Yaron, Amir, 2005. "Interpretable asset markets?," European Economic Review, Elsevier, vol. 49(3), pages 531-560, April.
  116. Christodoulakis, George, 2020. "Estimating the term structure of commodity market preferences," European Journal of Operational Research, Elsevier, vol. 282(3), pages 1146-1163.
  117. Stephan Jank, 2015. "Changes in the Composition of Publicly Traded Firms: Implications for the Dividend-Price Ratio and Return Predictability," Management Science, INFORMS, vol. 61(6), pages 1362-1377, June.
  118. José Ignacio López-Gaviria, 2019. "Colombia’s stock market predictability," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 91, pages 117-150, Julio - D.
  119. Nonejad, Nima, 2021. "Predicting equity premium using dynamic model averaging. Does the state–space representation matter?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  120. Chen, Long, 2009. "On the reversal of return and dividend growth predictability: A tale of two periods," Journal of Financial Economics, Elsevier, vol. 92(1), pages 128-151, April.
  121. Wayne E. Ferson & Andrew F. Siegel, 2006. "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers 12098, National Bureau of Economic Research, Inc.
  122. Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj, 2014. "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices," SIRE Discussion Papers 2015-79, Scottish Institute for Research in Economics (SIRE).
  123. David Rey, 2005. "Market Timing And Model Uncertainty: An Exploratory Study For The Swiss Stock Market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(3), pages 239-260, October.
  124. Rangvid, Jesper, 2006. "Output and expected returns," Journal of Financial Economics, Elsevier, vol. 81(3), pages 595-624, September.
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  126. Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj, 2014. "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model," MPRA Paper 58554, University Library of Munich, Germany.
  127. Zhang, Ditian & Tang, Pan, 2023. "Forecasting European Union allowances futures: The role of technical indicators," Energy, Elsevier, vol. 270(C).
  128. Vassilis Polimenis & Ioannis Neokosmidis, 2019. "Non-stationary dividend-price ratios," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 552-567, December.
  129. Salisu, Afees A. & Swaray, Raymond & Oloko, Tirimisiyu F., 2019. "Improving the predictability of the oil–US stock nexus: The role of macroeconomic variables," Economic Modelling, Elsevier, vol. 76(C), pages 153-171.
  130. Dai, Zhifeng & Zhu, Huan, 2021. "Indicator selection and stock return predictability," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  131. Òscar Jordà & Alan M. Taylor, 2011. "Performance Evaluation of Zero Net-Investment Strategies," NBER Working Papers 17150, National Bureau of Economic Research, Inc.
  132. Gene Amromin & Steven A. Sharpe, 2005. "From the horse’s mouth: gauging conditional expected stock returns from investor surveys," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  133. Rapach, David E. & Wohar, Mark E. & Rangvid, Jesper, 2005. "Macro variables and international stock return predictability," International Journal of Forecasting, Elsevier, vol. 21(1), pages 137-166.
  134. Stephen G. Hall & George S. Tavlas & Yongli Wang, 2023. "Forecasting inflation: The use of dynamic factor analysis and nonlinear combinations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 514-529, April.
  135. Campbell, John Y. & Yogo, Motohiro, 2006. "Efficient tests of stock return predictability," Journal of Financial Economics, Elsevier, vol. 81(1), pages 27-60, July.
  136. Algaba, Andres & Boudt, Kris, 2017. "Generalized financial ratios to predict the equity premium," Economic Modelling, Elsevier, vol. 66(C), pages 244-257.
  137. Ruey-Shii Chen & Tai-Wei Zhang, 2018. "Dividend cuts and predictability," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(2), pages 249-267, April.
  138. Wayne E. Ferson & Sergei Sarkissian & Timothy T. Simin, 2003. "Spurious Regressions in Financial Economics?," Journal of Finance, American Finance Association, vol. 58(4), pages 1393-1413, August.
  139. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2015. "Stock return forecasting: Some new evidence," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 38-51.
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