Stock Prices, Earnings and Expected Dividends
利用美国股市1871-1986年的数据，发现长期历史平均盈利有助于预测未来股息现值，且向量自回归预测中盈利指标的权重占三分之二到四分之三，并探讨了这对股票现值模型和长期收益可预测性的意义。
ABSTRACT Long historical averages of real earnings help forecast present values of future real dividends. With aggregate U.S. stock market data (1871–1986), a vector‐autoregressive forecast of the present value of future dividends is, for each year, roughly a weighted average of moving‐average earnings and current real price, with between two thirds and three fourths of the weight on the earnings measure. We develop the implications of this for the present‐value model of stock prices and for recent results that long‐horizon stock returns are highly forecastable.