We propose forecasting separately the three components of stock market returns—the
dividend–price ratio, earnings growth, and price–earnings ratio growth—the sum-of-the …

From the 19th century through the mid-20th century, the dividend yield (dividends/price) and
earnings yield (earnings/price) on stocks generally exceeded the yield on long-term US …

Banks are active users of derivatives. Using banks listed on the Taiwan Stock Exchange for
which there is detailed derivatives information for the period 1998 to 2005, we examine the …

Reasonable expectations for capital markets returns are the foundation on which all
investment programs are built. The model used to develop these critical expectations does …

The accuracy of US stock return forecasts based on the cyclically-adjusted P/E (CAPE) ratio
has deteriorated since 1985. The issue is not the CAPE ratio, but CAPE regressions that …

We document several aspects of New Zealand's long-term equity returns over the 156 years
from 1867 to 2022. Remaining invested in the market has been an effective strategy …

This paper provides a framework for defining, formulating and evaluating value investment
strategies. We define the relative value of an investment in terms of the prospective yield …

The forecasting ability of a returns decomposition model is presented. At the beginning of
the 1990s, John Bogle wrote an article entitled" Investing in the 1990s" in which he …

I evaluate how a range of stock market predictors have captured fluctuations in long-term (10
years) US real stock returns during the 1891-2016 period. Two predictors stand out:(i) the …

Abstract In 1984, in The Journal of Portfolio Management, Michael Rozeff suggested that
expected equity risk premium can be proxied by the current dividend yield on the market …