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• W2066389374 abstract "We examine the predictive ability of earnings-price ratios or yields for the S&P 500 index. We decompose the aggregate earnings-price ratio into its positive and negative components (winners vs losers) and find that the negative component has the most predictive ability. We also find that the earnings-price measures forecast both future returns and earnings growth. Our models display substantial variation in explanatory power over time with forecast power resurfacing in the latter 1990s. We conclude that to the extent that earnings-price yields predict future S&P 500 returns, the negative earnings component is the driving factor." @default.
• W2066389374 created "2016-06-24" @default.
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• W2066389374 date "2008-06-20" @default.
• W2066389374 modified "2023-09-23" @default.
• W2066389374 title "Negative Earnings, Positive Earnings and Stock Return Predictability: An Empirical Examination of Market Timing" @default.
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• W2066389374 hasPublicationYear "2008" @default.
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