Using annual data for 1872-1997, this paper re-examines the predictability of real stock prices based on price-dividend and price-earnings ratios. In line with the extant literature, we find significant evidence of increased long-horizon predictability; that is, the hypothesis that the current...

We investigate return predictability and the implied intertemporal hedging demands for stocks and bonds in the U.S., Australia, Canada, France, Germany, Italy, and U.K. We first estimate predictive regression models for domestic bill, stock, and bond returns in each country, where returns depend...