Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole
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We propose forecasting separately the three components of stock market returns: dividend yield, earnings growth, and price-earnings ratio growth. We obtain out-of-sample R-square coefficients (relative to the historical mean) of nearly 1.6% with monthly data and 16.7% with yearly data using the most
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美国国家经济研究局创建时间：
2008-12-01
