Campbell, John Y.; Yogo, Motohiro - Harvard Institute of Economic Research (HIER), … - 2002
Empirical studies have suggested that stock returns can be predicted by ï¬nancial variables such as the dividend-price ratio. However, these studies typically ignore the high persistence of predictor variables, which can make ï¬rst-order asymptotics a poor approximation in ï¬nite samples....