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| Author: | Kothari, S. P. Shanken, J. |
| Title: | Book-to-market, dividend yield, and expected market returns: A time-series analysis |
| Journal: | Journal of Financial Economics
1997 : MAY, VOL. 44:2, p. 169-203 |
| Index terms: | DIVIDENDS MARKETS RETURN ON INVESTMENT EXPECTATIONS BAYESIAN STATISTICS |
| Language: | eng |
| Abstract: | Evidence was found that book-to-market and dividend yield track time-series variation in expected real stock returns over the period 1926-1991 and the subperiod 1941-1991. A Bayesian bootstrap procedure implies that investors 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. The post-1940 evidence is consistent with expected returns always being positive, although it raises doubts about market efficiency. |
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