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Predicting the Equity Premium with Dividend Ratios

Citations

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Cited by:

  1. Martin Lettau & Stijn Van Nieuwerburgh, 2008. "Reconciling the Return Predictability Evidence," 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. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, Elsevier.
  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, 2017. "Does Business Confidence Matter for Investment?," Carleton Economic Papers 17-13, Carleton University, Department of Economics.
  6. Polimenis, Vassilis & Neokosmidis, Ioannis M., 2016. "The modified dividend–price ratio," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 31-38.
  7. Jank, Stephan, 2012. "Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability," CFR Working Papers 12-08, University of Cologne, Centre for Financial Research (CFR).
  8. Avramov, Doron & Chordia, Tarun, 2006. "Predicting stock returns," Journal of Financial Economics, Elsevier, vol. 82(2), pages 387-415, November.
  9. Hui Guo, 2006. "On the Out-of-Sample Predictability of Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 79(2), pages 645-670, March.
  10. Baetje, Fabian & Menkhoff, Lukas, 2016. "Equity premium prediction: Are economic and technical indicators unstable?," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1193-1207.
  11. 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.
  12. Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2012. "Structural Breaks and Predictive Regressions Models of South African Equity Premium," Working Papers 201209, University of Pretoria, Department of Economics.
  13. 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.
  14. Tano Santos & Pietro Veronesi, 2004. "Conditional Betas," NBER Working Papers 10413, National Bureau of Economic Research, Inc.
  15. Schrimpf, Andreas, 2010. "International stock return predictability under model uncertainty," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1256-1282, November.
  16. Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2014. "Dividend Predictability Around the World," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(5-6), pages 1255-1277, December.
  17. 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.
  18. Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2011. "Predictability of Returns and Cash Flows," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 467-491, December.
  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. Lettau, Martin & Ludvigson, Sydney C., 2005. "Expected returns and expected dividend growth," Journal of Financial Economics, Elsevier, vol. 76(3), pages 583-626, June.
  21. 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(02), pages 331-353, June.
  22. 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.
  23. 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.
  24. Guidolin, Massimo & Ono, Sadayuki, 2006. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 480-518.
  25. 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(05), pages 1493-1520, November.
  26. Tim Bollerslev & George Tauchen & Hao Zhou, 2009. "Expected Stock Returns and Variance Risk Premia," Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
  27. 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.
  28. Foerster, Stephen R. & Sapp, Stephen G., 2011. "Back to fundamentals: The role of expected cash flows in equity valuation," The North American Journal of Economics and Finance, Elsevier, vol. 22(3), pages 320-343.
  29. 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.
  30. Chiquoine, Benjamin & Hjalmarsson, Erik, 2009. "Jackknifing stock return predictions," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 793-803, December.
  31. Wayne E. Ferson & Sergei Sarkissian & Timothy T. Simin, 2003. "Spurious Regressions in Financial Economics?," Journal of Finance, American Finance Association, vol. 58(4), pages 1393-1414, August.
  32. Bork, Lasse & Møller, Stig V., 2015. "Forecasting house prices in the 50 states using Dynamic Model Averaging and Dynamic Model Selection," International Journal of Forecasting, Elsevier, vol. 31(1), pages 63-78.
  33. 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.
  34. Shanken, Jay & Tamayo, Ane, 2012. "Payout yield, risk, and mispricing: A Bayesian analysis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 131-152.
  35. Todd E. Clark & Kenneth D. West, 2005. "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference," NBER Technical Working Papers 0305, National Bureau of Economic Research, Inc.
  36. 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.
  37. Andre Carvalhal & Beatriz Vaz de Melo Mendes, 2008. "Evaluating the Forecast Accuracy of Emerging Market Stock Returns," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 44(1), pages 21-40, January.
  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. Erik Devos & Andrew Spieler & Desmond Tsang, 2014. "Elective Stock Dividends and REITs: Evidence from the Financial Crisis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(1), pages 33-70, March.
  40. Eugene 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.).
  41. repec:mul:jdp901:doi:10.12831/73630:y:2013:i:1:p:11-25 is not listed on IDEAS
  42. 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.
  43. Hui Guo & Jason Higbee, 2006. "Market timing with aggregate and idiosyncratic stock volatilities," Working Papers 2005-073, Federal Reserve Bank of St. Louis.
  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. Paulo Silva, 2015. "The information content of the open interest of credit default swaps," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(4), pages 381-427, November.
  46. Campbell, John Y. & Yogo, Motohiro, 2006. "Efficient tests of stock return predictability," Journal of Financial Economics, Elsevier, vol. 81(1), pages 27-60, July.
  47. repec:kap:fmktpm:v:31:y:2017:i:3:d:10.1007_s11408-017-0290-3 is not listed on IDEAS
  48. John H. Cochrane, 2008. "The Dog That Did Not Bark: A Defense of Return Predictability," Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1533-1575, July.
  49. Westerlund, Joakim & Narayan, Paresh, 2016. "Testing for predictability in panels of any time series dimension," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1162-1177.
  50. repec:eee:jbfina:v:81:y:2017:i:c:p:136-149 is not listed on IDEAS
  51. 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(04), pages 753-777, August.
  52. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Long-Run Regressions: Theory and Application to US Asset Markets," Finance 0410018, EconWPA.
  53. 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).
  54. Maio, Paulo, 2016. "Cross-sectional return dispersion and the equity premium," Journal of Financial Markets, Elsevier, vol. 29(C), pages 87-109.
  55. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2017. "Forecasting market returns: bagging or combining?," International Journal of Forecasting, Elsevier, vol. 33(1), pages 102-120.
  56. Bansal, Ravi & Khatchatrian, Varoujan & Yaron, Amir, 2005. "Interpretable asset markets?," European Economic Review, Elsevier, vol. 49(3), pages 531-560, April.
  57. Lubos Pástor & Robert F. Stambaugh, 2009. "Predictive Systems: Living with Imperfect Predictors," Journal of Finance, American Finance Association, vol. 64(4), pages 1583-1628, August.
  58. Anton Andriyashin & Wolfgang Härdle & Roman Timofeev, 2008. "Recursive Portfolio Selection with Decision Trees," SFB 649 Discussion Papers SFB649DP2008-009, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  59. 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.
  60. 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.
  61. Zongwu Cai & Yongmiao Hong, 2013. "Some Recent Developments in Nonparametric Finance," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  62. 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.
  63. Barnhart, Scott W. & Giannetti, Antoine, 2009. "Negative earnings, positive earnings and stock return predictability: An empirical examination of market timing," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 70-86, January.
  64. 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.
  65. 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.
  66. 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.
  67. Todd E. Clark & Michael W. McCracken, 2010. "Reality checks and nested forecast model comparisons," Working Papers 2010-032, Federal Reserve Bank of St. Louis.
  68. Ghosh, Anisha & Linton, Oliver, 2007. "Consistent estimation of the risk-return tradeoff in the presence of measurement error," LSE Research Online Documents on Economics 24506, London School of Economics and Political Science, LSE Library.
  69. Gupta, Rangan & Modise, Mampho P., 2013. "Macroeconomic Variables and South African Stock Return Predictability," Economic Modelling, Elsevier, vol. 30(C), pages 612-622.
  70. Schröder, Michael & Wang, Qingwei & Rotfuß, Waldemar, 2006. "Studie im Auftrag der Deutschen Bank AG, Frankfurt am Main zum Thema: "Analyse der Forward-Rate Bias Strategie der Deutschen Bank". Endbericht," ZEW Expertises, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research, number 110500.
  71. Ivo Welch & Amit Goyal, 2008. "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction," Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1455-1508, July.
  72. 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.
  73. 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.
  74. Khan, Muhammad Irfan Khan & Meher, Muhammad Ayub Khan Mehar & Syed, Syed Muhammad Kashif, 2013. "Impact of Inflation on Dividend Policy: Synchronization of Capital Gain and Interest Rate," MPRA Paper 51593, University Library of Munich, Germany, revised 04 Nov 2013.
  75. Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2016. "Predictability Hidden by Anomalous Observations," Papers 1612.05072, arXiv.org.
  76. 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.
  77. Buraschi Andrea & Carnelli Andrea, 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.
  78. Neri, Marcelo Cortes, 2014. "Brazil's middle classes," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 759, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  79. 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.
  80. 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.
  81. Massimo Guidolin & Carrie Fangzhou Na, 2007. "The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns," Working Papers 2006-059, Federal Reserve Bank of St. Louis.
  82. Chen, Sichong, 2012. "The predictability of aggregate Japanese stock returns: Implications of dividend yield," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 284-304.
  83. Candelon Bertrand & Ahmed Jameel & Straetmans Stefan, 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).
  84. 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.
  85. Giulia Dal Pra & Massimo Guidolin & Manuela Pedio & Fabiola Vasile, 2016. "Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis," BAFFI CAREFIN Working Papers 1637, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  86. Neil Kellard & John Nankervis & Fotis Papadimitriou, 2007. "Predicting the UK Equity Premium with Dividend Ratios: An Out-Of-Sample Recursive Residuals Graphical Approach," Money Macro and Finance (MMF) Research Group Conference 2006 129, Money Macro and Finance Research Group.
  87. 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 Businesss School.
  88. 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.
  89. Schmeling, Maik & Schrimpf, Andreas, 2011. "Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?," European Economic Review, Elsevier, vol. 55(5), pages 702-719, June.
  90. 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.
  91. Roman Kraeussl & Christian Wiehenkamp, 2012. "A call on art investments," Review of Derivatives Research, Springer, vol. 15(1), pages 1-23, April.
  92. 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.
  93. Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics 161, University of Gothenburg, Department of Economics.
  94. 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.
  95. Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2016. "Monetary Policy and Asset Valuation," NBER Working Papers 22572, National Bureau of Economic Research, Inc.
  96. Sharma, Susan Sunila, 2016. "Can consumer price index predict gold price returns?," Economic Modelling, Elsevier, vol. 55(C), pages 269-278.
  97. Hoevenaars, Roy P.M.M. & Molenaar, Roderick D.J. & Schotman, Peter C. & Steenkamp, Tom B.M., 2008. "Strategic asset allocation with liabilities: Beyond stocks and bonds," Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2939-2970, September.
  98. 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.
  99. repec:eee:jfinec:v:127:y:2018:i:2:p:248-263 is not listed on IDEAS
  100. 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.
  101. Timmermann, Allan, 2008. "Elusive return predictability," International Journal of Forecasting, Elsevier, vol. 24(1), pages 1-18.
  102. 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.
  103. Bessler, Wolfgang & Drobetz, Wolfgang & Zimmermann, Heinz, 2007. "Conditional Performance Evaluation for German Mutual Equity Funds," Working papers 2007/22, Faculty of Business and Economics - University of Basel.
  104. Chen, Xiaoyu & Chiang, Thomas C., 2016. "Stock returns and economic forces—An empirical investigation of Chinese markets," Global Finance Journal, Elsevier, vol. 30(C), pages 45-65.
  105. Makin, Anthony J. & Ratnasiri, Shyama, 2015. "Competitiveness and government expenditure: The Australian example," Economic Modelling, Elsevier, vol. 49(C), pages 154-161.
  106. Inoue, Atsushi & Jin, Lu & Rossi, Barbara, 2017. "Rolling window selection for out-of-sample forecasting with time-varying parameters," Journal of Econometrics, Elsevier, vol. 196(1), pages 55-67.
  107. Hui Guo & Robert Savickas, 2003. "On the cross section of conditionally expected stock returns," Working Papers 2003-043, Federal Reserve Bank of St. Louis.
  108. Mazzotta, Stefano, 2008. "How important is asymmetric covariance for the risk premium of international assets?," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1636-1647, August.
  109. Ivo Welch & Amit Goyal, 2004. "A Note On 'Predicting Returns With Financial Ratios'," Yale School of Management Working Papers amz2465, Yale School of Management.
  110. repec:wyi:journl:002108 is not listed on IDEAS
  111. John Y. Campbell & Samuel B. Thompson, 2005. "Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?," Harvard Institute of Economic Research Working Papers 2084, Harvard - Institute of Economic Research.
  112. Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2008. "Real-time macroeconomic data and ex ante stock return predictability," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 274-290.
  113. John Powell & Jing Shi & Tom Smith & Robert Whaley, 2009. "Common Divisors, Payout Persistence, and Return Predictability," International Review of Finance, International Review of Finance Ltd., vol. 9(4), pages 335-357.
  114. 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.
  115. John Theis & Amitabh S. Dutta, 2009. "Explanatory factors of bank dividend policy: revisited," Managerial Finance, Emerald Group Publishing, vol. 35(6), pages 501-508, May.
  116. Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2014. "Forecasting stock returns under economic constraints," Journal of Financial Economics, Elsevier, vol. 114(3), pages 517-553.
  117. Boucher, Christophe, 2006. "Stock prices-inflation puzzle and the predictability of stock market returns," Economics Letters, Elsevier, vol. 90(2), pages 205-212, February.
  118. 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.).
  119. repec:eee:jbfina:v:84:y:2017:i:c:p:188-201 is not listed on IDEAS
  120. 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.
  121. 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.
  122. Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
  123. 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.
  124. Paulo M.M. Rodrigues & Matei Demetrescu, 2016. "Residual-augmented IVX predictive regression," Working Papers w201605, Banco de Portugal, Economics and Research Department.
  125. Donald Robertson & Stephen Wright, 2006. "Dividends, Total Cash Flow to Shareholders, and Predictive Return Regressions," The Review of Economics and Statistics, MIT Press, vol. 88(1), pages 91-99, February.
  126. Hai Lin & Daniel Quill & Henk Berkman, 2016. "Information diffusion and the predictability of New Zealand stock market returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(3), pages 749-785, September.
  127. 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.
  128. Zhu, Xiaoneng & Zhu, Jie, 2013. "Predicting stock returns: A regime-switching combination approach and economic links," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4120-4133.
  129. Wayne E. Ferson & Andrew F. Siegel, 2006. "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers 12098, National Bureau of Economic Research, Inc.
  130. Prokopczuk, Marcel & Tharann, Björn & Wese Simen, Chardin, 2017. "Predicting the Equity Market with Option Implied Variables," Hannover Economic Papers (HEP) dp-619, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  131. 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.
  132. Rangvid, Jesper, 2006. "Output and expected returns," Journal of Financial Economics, Elsevier, vol. 81(3), pages 595-624, September.
  133. Lubos Pastor & Robert F. Stambaugh & Lucian A. Taylor, 2017. "Fund Tradeoffs," NBER Working Papers 23670, National Bureau of Economic Research, Inc.
  134. repec:wyi:journl:002195 is not listed on IDEAS
  135. 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.
  136. David le Bris & William N. Goetzmann & Sébastien Pouget, 2014. "Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946," NBER Working Papers 20199, National Bureau of Economic Research, Inc.
  137. Kuo, Chen-Yin, 2016. "Does the vector error correction model perform better than others in forecasting stock price? An application of residual income valuation theory," Economic Modelling, Elsevier, vol. 52(PB), pages 772-789.
  138. repec:eee:jimfin:v:80:y:2018:i:c:p:59-74 is not listed on IDEAS
  139. Òscar Jordà & Alan M. Taylor, 2011. "Performance Evaluation of Zero Net-Investment Strategies," NBER Working Papers 17150, National Bureau of Economic Research, Inc.
  140. 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.
  141. Francesca Carrieri & Vihang Errunza & Sergei Sarkissian, 2004. "Industry Risk and Market Integration," Management Science, INFORMS, vol. 50(2), pages 207-221, February.
  142. Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2006. "Optimal Portfolio Choice with Annuitization," Discussion Paper 2006-78, Tilburg University, Center for Economic Research.
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  155. Drobetz, Wolfgang & Kugler, Peter & Wanzenried, Gabrielle & Zimmermann, Heinz, 2009. "Heterogeneity in asset allocation decisions: Empirical evidence from Switzerland," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 84-93, March.
  156. Wayne E. Ferson & Andrea Heuson & Tie Su, 2005. "Weak-Form and Semi-Strong-Form Stock Return Predictability Revisited," Management Science, INFORMS, vol. 51(10), pages 1582-1592, October.
  157. Hui Guo, 2009. "Data Revisions And Out-Of-Sample Stock Return Predictability," Economic Inquiry, Western Economic Association International, vol. 47(1), pages 81-97, January.
  158. Ralf Becker & Junsoo Lee & Benton Gup, 2012. "An empirical analysis of mean reversion of the S&P 500’s P/E ratios," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(3), pages 675-690, July.
  159. Ana Sequeira, 2013. "Predicting aggregate returns using valuation ratios out-of-sample," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
  160. Dimpfl, Thomas & Jank, Stephan, 2011. "Can Internet search queries help to predict stock market volatility?," University of Tuebingen Working Papers in Economics and Finance 18, University of Tuebingen, Faculty of Economics and Social Sciences.
  161. Rapach, David E. & Wohar, Mark E., 2006. "In-sample vs. out-of-sample tests of stock return predictability in the context of data mining," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 231-247, March.
  162. Tom Engsted & Stig V. Møller & Magnus Sander, 2013. "Bond return predictability in expansions and recessions," CREATES Research Papers 2013-13, Department of Economics and Business Economics, Aarhus University.
  163. Ralph S. J. Koijen & Juan Carlos Rodríguez & Alessandro Sbuelz, 2009. "Momentum and Mean Reversion in Strategic Asset Allocation," Management Science, INFORMS, vol. 55(7), pages 1199-1213, July.
  164. Brandt, Michael W. & Kang, Qiang, 2004. "On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach," Journal of Financial Economics, Elsevier, vol. 72(2), pages 217-257, May.
  165. Jose Ignacio Lopez, 2018. "Predictibilidad del Mercado Accionario Colombiano," DOCUMENTOS CEDE 016086, UNIVERSIDAD DE LOS ANDES-CEDE.
  166. Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Myth of Long-Horizon Predictability," NBER Working Papers 11841, National Bureau of Economic Research, Inc.
  167. Andre Carvalhal & Beatriz Vaz de Melo Mendes, 2008. "Evaluating the Forecast Accuracy of Emerging Market Stock Returns," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 44(1), pages 21-40, January.
  168. Favero, Carlo A. & Ortu, Fulvio & Tamoni, Andrea & Yang, Haoxi, 2016. "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers 11645, C.E.P.R. Discussion Papers.
  169. Ludvigson, Sydney C., 2013. "Advances in Consumption-Based Asset Pricing: Empirical Tests," Handbook of the Economics of Finance, Elsevier.
  170. Biqing Cai & Jiti Gao, 2013. "Hermite Series Estimation in Nonlinear Cointegrating Models," Monash Econometrics and Business Statistics Working Papers 17/13, Monash University, Department of Econometrics and Business Statistics.
  171. Pierdzioch, Christian & Schertler, Andrea, 2008. "Investing in European stock markets for high-technology firms," Global Finance Journal, Elsevier, vol. 18(3), pages 400-415.
  172. Kellard, Neil M. & Nankervis, John C. & Papadimitriou, Fotios I., 2010. "Predicting the equity premium with dividend ratios: Reconciling the evidence," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 539-551, September.
  173. Eugene Amromin & Steven A. Sharpe, 2009. "Expectations of risk and return among household investors: Are their Sharpe ratios countercyclical?," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
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  180. Fletcher, Jonathan & Hillier, Joe, 2005. "An examination of linear factor models in country equity asset allocation strategies," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 808-823, September.
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