The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Book-to-market, dividend yield, and expected market returns: A time-series analysis
Open accessAbstract
We find reliable evidence that both book-to-market (B M) and dividend yield track time-series variation in expected real stock returns over the period 1926 91 (in which B M is stronger) and the subperiod 1941–1991 (in which dividend yield is stronger). A Bayesian bootstrap procedure implies that an investor with prior belief 0.5 that expected returns on the equal-weighted index are never negative comes away from the full-period B/M evidence with posterior probability 0.08 for the hypothesis (0.14 with the impact of the 1933 outlier tempered). Although this raises doubts about market efficiency, the post-1940 evidence is consistent with expected returns always being positive.
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Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
Hodrick, R. J. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.3.351 · Cited by 1,523
Cited by
Investor Sentiment and the Cross‐Section of Stock Returns
BAKER, M., & WURGLER, J. (2006) · The Journal of Finance · doi:10.1111/j.1540-6261.2006.00885.x · Cited by 6,049
A comprehensive look at the empirical performance of equity premium prediction
Welch, I., & Goyal, A. (2008) · Review of Financial Studies · doi:10.1093/rfs/hhm014 · Cited by 3,987
Predicting excess stock returns out of sample: Can anything beat the historical average?
Campbell, J. Y., & Thompson, S. B. (2008) · Review of Financial Studies · doi:10.1093/rfs/hhm055 · Cited by 2,919
“During the 1990s and early 2000s, research continued on the prediction of stock returns from valuation ratios ( Kothari and Shanken, 1997; Pontiff and Schall, 1998) and interest rates (Hodrick, 1992).”
BackgroundInvestor Psychology and Asset Pricing
(2001) · The Journal of Finance · doi:10.1111/0022-1082.00379 · Cited by 2,357
Investor Sentiment and the Cross-section of Stock Returns
Baker, M. P., & Wurgler, J. A. (2003) · SSRN Electronic Journal · doi:10.2139/ssrn.464843 · Cited by 1,456
Metadata
- Authors
- Kothari, S. P., & Shanken, J.
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 1997-05
- Volume
- 44
- Issue
- 2
- Pages
- 169-203
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W2093571522
- Cited by
- 762
- References
- 2
- FWCI
- 33.90
- Type
- journal article
- Language
- en
- Open access
- hybrid
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- Kothari, S. P., & Shanken, J. (1997). Book-to-market, dividend yield, and expected market returns: A time-series analysis. Journal of Financial Economics. https://doi.org/10.1016/s0304-405x(97)00002-0
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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