Wohar, Mark E.; Rapach, David E. - In: Journal of Applied Econometrics 20 (2005) 3, pp. 327-344
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...