PREDICTING RETURNS WITH FINANCIAL RATIOS
This article provides a new test of the predictive ability of aggregate financial ratios. Predictive regressions are subject to small-sample biases, but the correction in previous studies can substantially understate forecasting power....
| المؤلف الرئيسي: | |
|---|---|
| التنسيق: | Working Paper |
| اللغة: | en_US |
| منشور في: |
2003
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| الموضوعات: | |
| الوصول للمادة أونلاين: | http://hdl.handle.net/1721.1/1805 |
| _version_ | 1826200709297602560 |
|---|---|
| author | Lewellen, Jonathan |
| author_facet | Lewellen, Jonathan |
| author_sort | Lewellen, Jonathan |
| collection | MIT |
| description | This article provides a new test of the predictive ability of aggregate financial ratios.
Predictive regressions are subject to small-sample biases, but the correction in
previous studies can substantially understate forecasting power. Dividend yield
predicts aggregate market returns from 1946 – 2000, as well as in various subperiods.
Book-to-market and the earnings-price ratio predict returns during the shorter 1963 –
2000 sample. The evidence remains strong despite the unusual price run-up in recent
years |
| first_indexed | 2024-09-23T11:40:37Z |
| format | Working Paper |
| id | mit-1721.1/1805 |
| institution | Massachusetts Institute of Technology |
| language | en_US |
| last_indexed | 2024-09-23T11:40:37Z |
| publishDate | 2003 |
| record_format | dspace |
| spelling | mit-1721.1/18052019-04-10T16:58:39Z PREDICTING RETURNS WITH FINANCIAL RATIOS Lewellen, Jonathan Predictive Regressions Expected Returns Small-sample Bias This article provides a new test of the predictive ability of aggregate financial ratios. Predictive regressions are subject to small-sample biases, but the correction in previous studies can substantially understate forecasting power. Dividend yield predicts aggregate market returns from 1946 – 2000, as well as in various subperiods. Book-to-market and the earnings-price ratio predict returns during the shorter 1963 – 2000 sample. The evidence remains strong despite the unusual price run-up in recent years 2003-01-27T19:35:55Z 2003-01-27T19:35:55Z 2003-01-27T19:35:55Z Working Paper http://hdl.handle.net/1721.1/1805 en_US MIT Sloan School of Management Working Paper;4374-02 375275 bytes application/pdf application/pdf |
| spellingShingle | Predictive Regressions Expected Returns Small-sample Bias Lewellen, Jonathan PREDICTING RETURNS WITH FINANCIAL RATIOS |
| title | PREDICTING RETURNS WITH FINANCIAL RATIOS |
| title_full | PREDICTING RETURNS WITH FINANCIAL RATIOS |
| title_fullStr | PREDICTING RETURNS WITH FINANCIAL RATIOS |
| title_full_unstemmed | PREDICTING RETURNS WITH FINANCIAL RATIOS |
| title_short | PREDICTING RETURNS WITH FINANCIAL RATIOS |
| title_sort | predicting returns with financial ratios |
| topic | Predictive Regressions Expected Returns Small-sample Bias |
| url | http://hdl.handle.net/1721.1/1805 |
| work_keys_str_mv | AT lewellenjonathan predictingreturnswithfinancialratios |