| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20814 |
| 来源ID | Working Paper 20814 |
| Four Centuries of Return Predictability | |
| Benjamin Golez; Peter Koudijs | |
| 发表日期 | 2015-01-05 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We combine annual stock market data for the most important equity markets of the last four centuries: the Netherlands/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast returns. The documented predictability holds for annual and multi-annual horizons and works both in and out-of-sample, providing strong evidence that expected returns in stock markets are time-varying. Much of this variation is related to the business cycle, with expected returns increasing in recessions. We also find that, except for the period after 1945, dividend yields predict dividend growth rates. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; History ; Financial History |
| URL | https://www.nber.org/papers/w20814 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578487 |
| 推荐引用方式 GB/T 7714 | Benjamin Golez,Peter Koudijs. Four Centuries of Return Predictability. 2015. |
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