search query: @indexterm Share prices / total: 1009
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| Author: | Rangvid, J. |
| Title: | Output and expected returns |
| Journal: | Journal of Financial Economics
2006 : SEP, VOL. 81:3, p. 595-624 |
| Index terms: | gross national product return on investment share prices |
| Language: | eng |
| Abstract: | The article shows for 1929-2003 US data and also for international G-7 data that the ratio of share prices to GDP tracks a large fraction of the variation over time in expected returns on the aggregate stock market, capturing more of that variation than do price-earnings and price-dividend ratios and often also providing additional information about excess returns. The price-output ratio tracks long-term US cumulative stock returns almost as well as the cay-ratio of Lettau and Ludvigson (2001 & 2005), although the cay-ratio tracks variation in US excess returns better. |
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