Bali, Turan G.; Demirtas, K. Ozgur; Tehranian, Hassan - In: Journal of Financial and Quantitative Analysis 43 (2008) 03, pp. 657-684
This paper provides an analysis of the predictability of stock returns using market-, industry-, and firm-level earnings. Contrary to Lamont (1998), we find that neither dividend payout ratio nor the level of aggregate earnings can forecast the excess market return. We show that these variables...