A Note on 'Predicting Returns with Financial Ratios'
12 Pages Posted: 27 Jan 2004
Date Written: December 16, 2003
This note reinterprets methods that seek to use the aggregate dividend price ratio to predict aggregate stock market returns; specifically, methods which use information about time-varying changes in the dividend-price ratio process to improve the prediction equation. It argues that the empirical evidence is still too weak to suggest practical usefulness of these estimators.
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