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Forecasting Stock Market Returns : The Sum of the Parts is More than the Whole
Ferreira, Miguel A. - 2008
We propose forecasting separately the three components of stock market returns: dividend yield, earnings growth, and price-earnings ratio growth. We obtain out-of-sample R-square coefficients (relative to the historical mean) of nearly 1.6% with monthly data and 16.7% with yearly data using the...
Persistent link: https://www.econbiz.de/10012464077
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Valuation Ratios and the Long-Run Stock Market Outlook : An Update
Campbell, John Y. - 2001
The use of price earnings ratios and dividend-price ratios as forecasting variables for the stock market is examined using aggregate annual US data 1871 to 2000 and aggregate quarterly data for twelve countries since 1970. Various simple efficient-markets models of financial markets imply that...
Persistent link: https://www.econbiz.de/10012470503
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Four Centuries of Return Predictability
Golez, Benjamin - 2014
/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast …
Persistent link: https://www.econbiz.de/10012457852
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The Level and Persistence of Growth Rates
Chan, Louis K.C. - 2001
Expected long-term earnings growth rates are crucial inputs to valuation models and for cost of capital estimates. We analyze historical long-term growth rates across a broad cross-section of stocks using several operating performance indicators. We test whether growth persists, and whether it...
Persistent link: https://www.econbiz.de/10012470442
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Noise in Expectations : Evidence from Analyst Forecasts
De Silva, Tim - National Bureau of Economic Research - 2021
This paper quantifies the amount of noise and bias in analysts' forecast of corporate earnings at various horizons. We … next decompose the relative accuracy of these forecasts into three components: (i) noise, (ii) bias and (iii) analysts … both noise and bias are increase linearly. We then show most existing models lack a mechanism to account for these facts …
Persistent link: https://www.econbiz.de/10012585447
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"Excess Volatility" and the German Stock Market, 1876-1990
De Long, J. Bradford - 1992
This paper uses long-run real price and dividends series to investigate for the German stock market the questions asked of the U.S. market by Shiller (1989). It tries to determine in what periods and to what degree the German stock market has also possessed excess volatility' in the past...
Persistent link: https://www.econbiz.de/10012474925
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Market Reactions to Tangible and Intangible Information
Daniel, Kent - 2003
We decompose stock returns into components attributable to tangible and intangible information. A firm's tangible return is the component of its return attributable to fundamental accounting-performance information, and its intangible return is the component which is orthogonal to this...
Persistent link: https://www.econbiz.de/10012468955
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Shared Analyst Coverage : Unifying Momentum Spillover Effects
Ali, Usman - 2018
Identifying stock connections by shared analyst coverage, we find that a connected-stock (CS) momentum factor generates a monthly alpha of 1.68% (t = 9.67). In spanning regressions, the alphas of industry, geographic, customer, customer/supplier industry, single- to multi-segment, and technology...
Persistent link: https://www.econbiz.de/10012480853
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Duration-Based Stock Valuation : Reassessing Stock Market Performance and Volatility
van Binsbergen, Jules H. - 2020
Using a panel of international government bond data, I construct fixed income portfolios that match the duration of the dividend strips of the corresponding local aggregate stock market index. I find that these bond portfolios have performed as well as -- if not better than -- their stock...
Persistent link: https://www.econbiz.de/10012481562
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Expectations of Fundamentals and Stock Market Puzzles
Bordalo, Pedro - 2020
We revisit several leading puzzles about the aggregate stock market by incorporating into a standard dividend discount model survey expectations of earnings of S&P 500 firms. Using survey expectations, while keeping discount rates constant, explains a significant part of "excess" stock price...
Persistent link: https://www.econbiz.de/10012481865