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http://dspace.mediu.edu.my:8181/xmlui/handle/1721.1/1805| Title: | PREDICTING RETURNS WITH FINANCIAL RATIOS |
| Keywords: | Predictive Regressions Expected Returns Small-sample Bias |
| Issue Date: | 1-Jun-2013 |
| Description: | 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 |
| URI: | http://koha.mediu.edu.my:8181/jspui/handle/1721 |
| Other Identifiers: | http://hdl.handle.net/1721.1/1805 |
| Appears in Collections: | MIT Items |
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