Our article comprehensively reexamines the performance of variables that have been
suggested by the academic literature to be good predictors of the equity premium. We find …

A novel Bayesian method for inference in dynamic regression models is proposed where
both the values of the regression coefficients and the importance of the variables are …

We reassess the performance of market-timing rules when controlling for data-snooping
biases. For the first time, a comprehensive set of simple and complex market-timing rules is …

Multiples such as D/P, P/E, and CAPE are useful when forecasting long-term returns, and
largely useless when forecasting short-term returns. Given this mixed forecasting ability, the …

It is generally accepted in academic circles that the developed country capital markets with
their advanced infra-structure, depth and liquidity are at a minimum Weak-Form efficient …

• This is an explanation of why “static” regression models, where predictor effects are
assumed constant over time often produce poor out-of-sample forecasts or predictions when …

This paper investigates if incorporating market timing trading rules based on P/E ratios into
buy-and-hold-strategies provide investors with higher income replacement ratios in …

In this paper we develop a stock market timing model based on expert judgments and
observable market valuation and sentiment indicators. We apply it to the US stock market …

For stock analysis, the P/e ratio has always played a prominent part. Is it, then, a good
method for finding “incorrectly” evaluated stocks? Earlier research mainly based on the …