We use bootstrap simulations to examine the properties of long-horizon U.S. stock market returns. Distributions of continuously compounded returns converge toward normal distributions as we extend the horizon from one to 30 years, and distributions of dollar payoffs converge toward lognormal. We...

Variation in monthly metropolitan area house prices unrelated to future rents clouds forecasts of rents from price-rent ratios and lagged changes in house prices. If this noise in house prices is correlated across areas, the problem is mitigated by measuring rent growth regression variables net...