dc.creator |
Lewellen, Jonathan |
|
dc.date |
2003-01-27T19:35:55Z |
|
dc.date |
2003-01-27T19:35:55Z |
|
dc.date |
2003-01-27T19:35:55Z |
|
dc.date.accessioned |
2013-05-31T20:08:53Z |
|
dc.date.available |
2013-05-31T20:08:53Z |
|
dc.date.issued |
2013-06-01 |
|
dc.identifier |
http://hdl.handle.net/1721.1/1805 |
|
dc.identifier.uri |
http://koha.mediu.edu.my:8181/jspui/handle/1721 |
|
dc.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 |
|
dc.format |
375275 bytes |
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dc.format |
application/pdf |
|
dc.language |
en_US |
|
dc.relation |
MIT Sloan School of Management Working Paper;4374-02 |
|
dc.subject |
Predictive Regressions |
|
dc.subject |
Expected Returns |
|
dc.subject |
Small-sample Bias |
|
dc.title |
PREDICTING RETURNS WITH FINANCIAL RATIOS |
|
dc.type |
Working Paper |
|