Using annual data for 1872-1997, this paper re-examines the predictability of real stock prices based on price-dividend and price-earnings ratios. In line with the extant literature, we find significant evidence of increased long-horizon predictability; that is, the hypothesis that the current...

In this article we examine the structural stability of predictive regression models of U.S. quarterly aggregate real stock returns over the postwar era. We consider predictive regressions models of S&P 500 and CRSP equal-weighted real stock returns based on eight financial variables that display...

We investigate the intertemporal hedging demands for stocks and bonds for investors in the U.S., Australia, Canada, France, Germany, Italy, and U.K. Using the methodology of Campbell etal. [Campbell, J.Y., Chan, Y.L., Viceira, L.M., 2003a. A multivariate model of strategic asset allocation....

In this paper, we investigate the degree of persistence in quarterly postwar tax-adjusted ex post real interest rates for 13 industrialized countries using two recently developed econometric procedures. Our results show that international tax-adjusted real interest rates are typically very...

We evaluate forecasting models of US business fixed investment spending growth over the recent 1995:1-2004:2 out-of-sample period. The forecasting models are based on the conventional Accelerator, Neoclassical, Average Q, and Cash-Flow models of investment spending, as well as real stock prices...