A Comprehensive Look at The Empirical Performance of Equity …

market. (JEL G12, G14) Attempts to predict stock market returns or the equity premium have a long tradition in finance. As early as 1920, Dow (1920) explored the role of dividend ratios. A typical specification regresses an independent lagged predictor on the stock market rate of return or, as we shall do, on the equity premium, Equity ... ................
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