Search Results for: Time Varying Predictability For Stock Returns Dividend Growth And Consumption Growth

Using a state-space model, this paper examines time-variation in the predictive regressions for stock returns, dividend growth and consumption growth. Moreover,

This paper links variation in the predictive regressions for stock returns, dividend growth and consumption growth to economic and market factors. The nature of

Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.

We present a consumption-based model that explains the procyclical variation of stock prices, the long-horizon predictability of excess stock returns, and the c