Price-dividend ratios and stock price predictability

DOI10.1002/FOR.1231MaRDI QIDQ4687274zbMATH OpenOpenAlexFDO

Authors Jyh-Lin Wu, Yu-Hau Hu

Publication date 11 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.1231

zbMATH Keywords

economic significancelong-horizon regression testsout-of-sample predictabilityrandom walkstime-varying means

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20)

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• Evaluating the `Fed Model' of stock price valuation: an out-of-sample forecasting perspective
• In-sample and out-of-sample prediction of stock market bubbles: cross-sectional evidence
• Secular mean reversion and long-run predictability of the stock market
• On empirical likelihood test for predictability

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