Access the full text.
Sign up today, get DeepDyve free for 14 days.
Marsh Marsh, Merton Merton (June 1986)
“Dividend Variability and Variance Bounds Tests for the Rationality of Stock Market Prices.”American Economic Review, 76
Campbell (1987)
Cointegration and Tests of Present Value ModelsJournal of Political Economy, 95
Shiller Shiller (June 1981)
“Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?”American Economic Review, 71
Kleidon Kleidon (October 1986)
“Variance Bounds Tests and Stock Price Valuation Models.”Journal of Political Economy, 94
Mankiw Mankiw, Romer Romer, Shapiro Shapiro (May 1985)
“An Unbiased Reexamination of Stock Market Volatility.”Journal of Finance, 40
Wilson Wilson, Jones Jones (April 1987)
“A Comparison of Annual Common Stock Returns: 1871–1925 with 1926–85.”Journal of Business, 60
Marsh Marsh, Merton Merton (January 1987)
“Dividend Behavior for the Aggregate Stock Market.”Journal of Business, 60
Summers Summers (July 1986)
“Does the Stock Market Rationally Reflect Fundamental Values?”Journal of Finance, 41
Fama Fama, French French (April 1988)
“Permanent and Temporary Components of Stock Prices.”Journal of Political Economy, 96
Gregory Gregory, Veall Veall (November 1985)
“Formulating Wald Tests of Nonlinear Restrictions.”Econometrica, 53
LeRoy LeRoy, Porter Porter (1981)
“Stock Price Volatility: Tests Based on Implied Variance Bounds.”Econometrica, 49
West West (January 1988)
“Dividend Innovations and Stock Price Volatility.”Econometrica, 56
Shiller Shiller (1984)
“Stock Prices and Social Dynamics.”Brookings Papers on Economic Activity, 2
DeBondt DeBondt, Thaler Thaler (July 1985)
“Does the Stock Market Overreact?”Journal of Finance, 60
Kormendi Kormendi, Lipe Lipe (1987)
“Earnings Innovations, Earnings Persistence and Stock Returns.”Journal of Business, 60
Sargent Sargent (1979)
“A Note on the Estimation of the Rational Expectations Model of the Term Structure.”Journal of Monetary Economics, 5
ABSTRACT Long historical averages of real earnings help forecast present values of future real dividends. With aggregate U.S. stock market data (1871–1986), a vector‐autoregressive forecast of the present value of future dividends is, for each year, roughly a weighted average of moving‐average earnings and current real price, with between two thirds and three fourths of the weight on the earnings measure. We develop the implications of this for the present‐value model of stock prices and for recent results that long‐horizon stock returns are highly forecastable.
The Journal of Finance – Wiley
Published: Jul 1, 1988
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.