In this paper we relate the very persistent component of interest rates to a specific demographic variable, MYt, the proportion of middle-aged to young population. We first reconsider the results in Fama (2006) to document how MYt captures the long run component identified by Fama in his...

This paper documents the existence of a slowly evolving trend in the log dividend-price ratio, DP<italic>null</italic>, determined by a demographic variable, MY<italic>null</italic>: the middle-aged to young ratio. Deviations of DP<italic>null</italic> from this long-run component explain transitory but persistent fluctuations in stock market...

This paper documents the existence of a slowly evolving trend in the dividendprice ratio, dpt , determined by a demographic variable, MY : the middle-aged to young ratio. Deviations of dpt from this long-run component explain transitory but persistent fluctuations in stock market returns. The...

The dynamic dividend growth model (Campbell&Shiller, 1988) linking the log dividend yield to future expected dividend growth and stock market returns has been extensively used in the literature for forecasting stock returns. The empirical evidence on the performance of the model is mixed as its...