A Note on 'Predicting Returns with Financial Ratios'

12 Pages Posted: 27 Jan 2004

See all articles by Ivo Welch

Ivo Welch

University of California, Los Angeles (UCLA); National Bureau of Economic Research (NBER)

Amit Goyal

University of Lausanne; Swiss Finance Institute

Date Written: December 16, 2003

Abstract

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.

Suggested Citation

Welch, Ivo and Goyal, Amit, A Note on 'Predicting Returns with Financial Ratios' (December 16, 2003). Yale ICF Working Paper No. 04-02. Available at SSRN: https://ssrn.com/abstract=486265

Ivo Welch (Contact Author)

University of California, Los Angeles (UCLA) ( email )

110 Westwood Plaza
C519
Los Angeles, CA 90095-1481
United States
310-825-2508 (Phone)

HOME PAGE: http://www.ivo-welch.info

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Amit Goyal

University of Lausanne ( email )

Lausanne, Vaud CH-1015
Switzerland

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

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