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On Markov error-correction models, with an application to stock prices and di...
This paper considers Markov error-correction (MEC) models in which deviations from the long-run equilibrium are characterized by different rates of adjustment. To motivate our... -
Valuation ratios and long-horizon stock price predictability (replication data)
Using annual data for 1872-1997, this paper re-examines the predictability of real stock prices based on price-dividend and price-earnings ratios. In line with the extant...
