back on work in industrial organization, we analyze the relationship between profit persistence and expected stock returns …. We show that long-run profit persistence together with other additional economic firm fundamentals have a significant …

estimation of the state vector and of the time-varying parameters. We use this method to study the time-varying relationship … between the price dividend ratio, expected stock returns and expected dividend growth in the US since 1880. We find a … significant increase in the long-run equilibrium value of the price dividend ratio over time, associated with a fall in the long …