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Stock Return Predictability: Is it There?

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Figure

Table 1 (continued) Excess return Shortrate Dividendyield Earningsyield Dividendgrowth Earningsgrowth Correlations of excess returns, June 1953–December 2001
Table 2 summarizes the excess return predictability results for horizons of one month (quarter), one year, and five years
Table 2 also reports bivariate regression results with the short rate as an additional regressor
Figure 4 displays the coefficient patterns for the annualized short rate and its associated t-statistics in the bivariate regression for the 1975–2001 sample
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