RT Journal Article SR Electronic T1 Modeling Stock Market Returns JF The Journal of Portfolio Management FD Institutional Investor Journals SP 33 OP 46 DO 10.3905/jpm.2000.319747 VO 26 IS 2 A1 Hélène Harasty A1 Jacques Roulet YR 2000 UL https://pm-research.com/content/26/2/33.abstract AB In this article, the authors develop a two–step econometric model to explain and forecast stock market movements in seventeen countries. Their key assumption is that while a theory such as the dividend discount model is relevant to explain the long–run behavior of stock markets, short–run fluctuations are driven by variables that do not enter into the theory of cointegration and error correction for developing the two–step model for long–term behavior and short–term behavior. They present in– and out–of a sample tests of the model's ability to forecast future stock market results. These results indicate that such a model does have predictive power and can thus be a useful tool in the investment decision process.