Earnings and Expected Returns
发现美国战后数据中，总股息支付率能预测股票和公司债券的超额收益，高股息预示高收益，高盈利预示低收益；盈利与商业周期的相关性使其具有预测能力，但长期收益预测主要由股价决定。
The aggregate dividend payout ratio forecasts excess returns on both stocks and corporate bonds in postwar U.S. data. High dividends forecast high returns. High earnings forecast low returns. The correlation of earnings with business conditions gives them predictive power for returns; they contain information about future returns that is not captured by other variables. Dividends and earnings contribute substantial explanatory power at short horizons. For forecasting long‐horizon returns, however, only (scaled) stock prices matter. Forecasts of low long‐horizon stock returns in the mid‐1990s are caused not by earnings or dividends, but by high stock prices.