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• W2179283721 abstract "We evaluate and compare the information contents of dividend-price ratio and consumption-wealth ratio ([Formula: see text] for predicting stock returns at different horizons. To do this, we conduct a canonical correlation analysis of wavelet-decomposed stock returns and a selected group of predictors. We show that predictive information is often wasted due to a weak signal problem: The highly predictive component is met with very low variation. Nevertheless, we find that cay contains valuable information about the long run and that, after allowing for structural breaks, dividend-price ratio becomes very informative about short-to-medium-horizon returns and outperforms [Formula: see text] in terms of in-sample [Formula: see text]." @default.
• W2179283721 created "2016-06-24" @default.
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• W2179283721 date "2015-12-01" @default.
• W2179283721 modified "2023-09-26" @default.
• W2179283721 title "PREDICTING STOCK RETURNS — THE INFORMATION CONTENT OF PREDICTORS ACROSS HORIZONS" @default.
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• W2179283721 doi "https://doi.org/10.1142/s201049521550013x" @default.
• W2179283721 hasPublicationYear "2015" @default.
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