| dc.contributor.author | Lewellen, Jonathan | |
| dc.date.accessioned | 2003-01-27T19:35:55Z | |
| dc.date.available | 2003-01-27T19:35:55Z | |
| dc.date.issued | 2003-01-27T19:35:55Z | |
| dc.identifier.uri | http://hdl.handle.net/1721.1/1805 | |
| dc.description.abstract | This article provides a new test of the predictive ability of aggregate financial ratios.
Predictive regressions are subject to small-sample biases, but the correction in
previous studies can substantially understate forecasting power. Dividend yield
predicts aggregate market returns from 1946 – 2000, as well as in various subperiods.
Book-to-market and the earnings-price ratio predict returns during the shorter 1963 –
2000 sample. The evidence remains strong despite the unusual price run-up in recent
years | en |
| dc.format.extent | 375275 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.language.iso | en_US | |
| dc.relation.ispartofseries | MIT Sloan School of Management Working Paper;4374-02 | |
| dc.subject | Predictive Regressions | en |
| dc.subject | Expected Returns | en |
| dc.subject | Small-sample Bias | en |
| dc.title | PREDICTING RETURNS WITH FINANCIAL RATIOS | en |
| dc.type | Working Paper | en |
