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Predicting returns with financial ratios
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DOI：10.1016/j.jfineco.2002.11.002.png)
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This article studies whether financial ratios like dividend yield can predict aggregate stock returns. Predictive regressions are subject to small-sample biases, but the correction used by prior studies can substantially understate forecasting power. I show that dividend yield predicts market returns during the period 1946-2000, as well as in various subsamples. Book-to-market and the earnings-price ratio predict returns during the shorter sample 1963-2000. The evidence remains strong despite the unusual price run-up in recent years. (C) 2004 Elsevier B.V. All rights reserved.
Keyword:
predictive regressions
bias
expected returns
equity premium
期刊
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12
论文数:
3.8K
被引数:
5.5W
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