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- W3183880097 abstract "We present a novel approach to analyzing stock return predictability that accommodates (i) arbitrary predictor persistence, (ii) panels with common factors, (iii) multiple predictors, (iv) short- and long-horizon analysis, and relies on standard inference from least-squares estimation of a suitably adjusted predictive regression. We analyze US and international equity premia and find that dividend- and earnings-related price ratios have negligible predictive power over long horizons, whereas the dividend yield has considerable predictive power over short horizons, with positive coefficients, consistent with present value theory. Long-term government bond yields exhibit predictive power over all horizons from one month through five years." @default.
- W3183880097 created "2021-08-02" @default.
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- W3183880097 date "2021-01-01" @default.
- W3183880097 modified "2023-09-23" @default.
- W3183880097 title "Predictive Regressions under Arbitrary Persistence and Stock Return Predictability" @default.
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- W3183880097 doi "https://doi.org/10.2139/ssrn.3802472" @default.
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