Stock Returns, Expected Returns, and Real Activity
通过分解股票收益的方差，发现预期现金流冲击解释了43%的年度收益波动，时变预期收益及其冲击解释了30%，两者合计约58%，以此探讨市场有效性问题。
Measuring the total return variation explained by shocks to expected cash flows, time-varying expected returns, and shocks to expected returns is one way to judge the rationality of stock prices. Variables that proxy for expected returns and expected-return shocks capture 30% of the variance of annual NYSE value-weighted returns. Growth rates of production, used to proxy for shocks to expected cash flows, explain 43% of the return variance. Whether the combined explanatory power of the variables—about 58% of the variance of annual returns—is good or bad news about market efficiency is left for the reader to judge.