TY  - BOOK
AU  - Goyal,Amit
AU  - Welch,Ivo
ED  - National Bureau of Economic Research.
TI  - Predicting the Equity Premium With Dividend Ratios
T2  - NBER working paper series
PY  - 2002///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - February 2002; Hardcopy version available to institutional subscribers
N2  - Our paper reexamines the forecasting regressions which predict annual aggregate stock market returns net of the risk-free rate with lagged aggregate dividend-yield ratios and dividend-price ratios.  Prior to 1990, the conditional dividend yield could reliably outperform the historical equity premium mean in predicting future equity premia *in-sample*. But our paper shows that the dividend ratios could not outperform the prevailing unconditional mean *out-of-sample*, plus any residual power was directly related to only two years, 1974 and 1975.  As of 2000, even this in-sample predictive ability has disappeared.  Our paper also documents changes in the time-series processes of the dividends themselves and shows that an increasing persistence of dividend-price ratio is largely responsible for weak stock return predictability
UR  - https://www.nber.org/papers/w8788
UR  - http://dx.doi.org/10.3386/w8788
ER  -