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- W3207750852 abstract "I first show that taking moving averages of the term spread, the dividend yield, and the Shiller’s CAPE, significantly increases their ability to predict one month and 12-month forward equity market excess returns, and the state of the business cycle. Dividend yield, CAPE and term spread are all measures of value in the financial market, all of which forecast future equity market returns. My main finding is that equity market time-series momentum works well in the middle valuation regimes, but breaks down near historical extreme levels of value, where the direction of the equity market commonly turns. In this sense, the historical extremes of the valuation ratios and the term spread define boundaries for time-series momentum. To examine this idea formally, I normalize the different valuation measures relative to their extreme observations in rolling 10- to 20-year windows to lie between [-1,1]. I then define a variable Boundaries by taking sum of the squares of the normalized valuation measures. Controlling for 12-month equity market return reversals, when the Boundaries variable is high, increases the R2 in a predictive regression of equity market returns by up to 90% and the R2 in a predictive regression of time series momentum returns by up to 400%." @default.
- W3207750852 created "2021-10-25" @default.
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- W3207750852 date "2021-01-01" @default.
- W3207750852 modified "2023-10-16" @default.
- W3207750852 title "Boundaries of Momentum - Equity and Bond Returns Over the Business Cycle" @default.
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- W3207750852 doi "https://doi.org/10.2139/ssrn.3788139" @default.
- W3207750852 hasPublicationYear "2021" @default.
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