The major bull and bear markets of this century have suggested to many that large decade-to-decade stock market swings reflect irrational quot;fads and fashionsquot; that periodically sweep investors. We argue instead that investors have perceived significant shifts in the long-run mean rate of...

Large long-run swings in the United States stock market over the past century correspond to swings in estimates of fundamental values calculated by using a long moving average of past dividend growth to forecast future growth rates. Such a procedure would have been reasonable if investors were...

We consider the puzzling behavior of interest rates and inflation in the United States and the United Kingdom between 1879 and 1913. A deflationary regime prior to 1896 was followed by an inflationary one from 1896 until the beginning of World War I; the average inflation rate was 3.8 percentage...