Spotting the Predictive Dynamics of Cyclically‐Adjusted Financial Ratios in the US Stock Market

Predicting returns is a timeless and important economic topic. Fundamental analysts see identifying time‐varying predictive factors as a key goal in asset pricing. This paper provides strong evidence of time‐varying return predictability of the S&P 500 Index from 1929 to 2020, by proposing the c...

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Bibliographic Details
Published in:Economic notes - Monte Paschi Siena 2026-02, Vol.55 (1)
Main Authors: Georgiou, Catherine, Fassas, Athanasios P.
Format: Article
Language:English
Subjects:
Asset pricing
Dividends
Earnings
Economic factors
Financial ratios
Forecasting
Predictions
Predictive analytics
Prices
Rates of return
Robustness
Securities markets
Stock exchanges
Variables
Citations: Items that this one cites
Online Access:Get full text
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