Four centuries of return predictability, Journal of Financial Economics (2018, with Benjamin Golez)
Over the last four centuries, the dividend-to-price ratio has consistently predicted returns, confirming that expected returns are time-varying.
Four centuries of return predictability, Journal of Financial Economics (2018, with Benjamin Golez)
Over the last four centuries, the dividend-to-price ratio has consistently predicted returns, confirming that expected returns are time-varying.