Disclosure: In addition to being a professor at Yale University, the author is currently working
part-time with Standard & Poor's to produce home price indices; with the Chicago Mercantile …

The equity premium puzzle refers to the empirical fact that stocks have outperformed bonds
over the last century by a surprisingly large margin. We offer a new explanation based on …

abstract The efficient markets theory reached the height of its dominance in academic circles
around the 1970s. Faith in this theory was eroded by a succession of discoveries of …

This paper documents changes in the patterns of earnings, cash flows and accruals over the
last four decades. In the absence of a generally accepted definition of conservatism, a …

The use of price earnings ratios and dividend-price ratios as forecasting variables for the
stock market is examined using aggregate annual US data 1871 to 2000 and aggregate …

How should central banks view movements in equity, housing and foreign exchange
markets? Can policy-makers improve economic performance by paying attention to asset …

In this chapter we introduce the basic definitions for stocks and portfolios, and prove
preliminary results that are used throughout the later chapters. The mathematical definitions …

We investigate whether dividend policy, as observed in the payout ratio of the US equity
market portfolio, forecasts future aggregate earnings growth. The historical evidence …

This paper documents that (1) special dividends were once commonly paid by NYSE firms,
but are now rarely paid;(2) firms typically paid specials almost as predictably as they paid …

We provide evidence that is consistent with an increase in reporting conservatism by US
companies in the past few decades. Using a constant sample of almost 900 companies, we …