000			01243nam a22001697a 4500
008			190311b xxu||||| |||| 00| 0 eng d
022			_a0304-405X
245			_aFour centuries of return predictability / by Benjamin Golez & Peter Koudijs _cBenjamin Golez ; Peter Koudijs
260			_aAmsterdam _bElsevier _cFebruary 2018
300			_aPages 197-416
440			_aJournal of Financial Economics _v127 (2) _x0304-405X
500			_aAbstract We combine annual stock market data for the most important equity markets of the last four centuries: the Netherlands and UK (1629–1812), UK (1813–1870), and US (1871–2015). We show that dividend yields are stationary and consistently forecast returns. The documented predictability holds for annual and multi-annual horizons and works both in- and out-of-sample, providing strong evidence that expected returns in stock markets are time-varying. In part, this variation is related to the business cycle, with expected returns increasing in recessions. We also find that, except for the period after 1945, dividend yields predict dividend growth rates.
690			_aDividend-to-price ratio
690			_aReturn predictability
690			_aDividend growth predictability
942			_2lcc _cSE
999			_c361333 _d361333