We investigate the empirical implications of using various measures of payout yield rather
than dividend yield for asset pricing models. We find statistically and economically …

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 …

Motivated by psychological evidence on limited investor attention and anchoring, we
propose two proxies for the degree to which traders under-and overreact to news, namely …

Evidence of stock-return predictability by financial ratios is still controversial, as documented
by inconsistent results for in-sample and out-of-sample regressions and by substantial …

We describe a novel currency investment strategy, the 'dollar carry trade,'which delivers
large excess returns, uncorrelated with the returns on well-known carry trade strategies …

The difficulty of predicting stock returns has recently motivated researchers to start looking
for more powerful tests, and the current study takes a step in this direction. Unlike existing …

The cross section of stock returns has substantial exposure to risk captured by higher
moments of market returns. We estimate these moments from daily Standard & Poor's 500 …

The author surveys work on the intersection between macroeconomics and finance. The
challenge is to find the right measure of" bad times," rises in the marginal value of wealth, so …

This study adopts the newly constructed macroeconomic attention indices (MAI) and
category-specific economic policy uncertainty (EPU) indices to predict stock volatility …

We propose a new approach to imposing economic constraints on time series forecasts of
the equity premium. Economic constraints are used to modify the posterior distribution of the …