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Conditional Mean Reversion of Financial Ratios and the Predictability of Returns
25/25 checkable references clean · checked 2026-08-28
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The 25 checked references that resolve
resolves10.1007/s12197-010-9145-8
An empirical analysis of mean reversion of the S&P 500’s P/E ratios
resolves10.1016/j.econlet.2005.08.001
Stock prices–inflation puzzle and the predictability of stock market returns
resolves10.1093/rfs/1.3.195
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
resolves10.1111/j.1540-6261.1991.tb02674.x
The Term Structure as a Predictor of Real Economic Activity
resolves10.1162/003465398557320
Predicting U.S. Recessions: Financial Variables as Leading Indicators
resolves10.2307/1912559
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
resolves10.1093/rfs/5.3.351
Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
resolves10.1111/j.1540-6261.1991.tb04624.x
Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K.
resolves10.1093/rfs/hhp063
Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
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no DOI — not checkedare investigated here, using the approach adopted for the US in Section 3. Formally, for a fixed forecasting horizon ? from 1 month to 60 month, i.e. 5 years, and for each month t, we use the available monthly observations to estimate the predictive regression model (12)
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no DOI — not checkedThe penultimate column displays the adjusted R-squared of this predictive regression (Adj. R 2 ) and the last column the adjusted R-squared of the traditional regression (Adj. R 2 Tradi). *. **. and *** denote traditional significance at 10%. 5% and 1% levels, respectively. Inference is conducted with the robust Newey-West standard error
no DOI — not checkedLate to recessions: Stocks and business cycle
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no DOI — not checkedNew indexes of coincident and leading indicators
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