| Â | S&P 500 | SPI |
|---|
\(r_{t+1}^{\omega }\)
|
All
|
All
| T<1999 | T≥1999 |
|---|
dp
t
| 0.012 | 0.005 | −0.006 | 0.002 |
| Â | [0.016] | [0.012] | [0.024] | [0.015] |
\(r_{t}^{\omega }\)
| 0.089 | 0.217*** | 0.134 | 0.267*** |
| Â | [0.089] | [0.044] | [0.084] | [0.054] |
Cons
| 0.053 | 0.024 | −0.010 | 0.007 |
| Â | [0.061] | [0.047] | [0.087] | [0.059] |
R
2
| 0.011 | 0.046 | 0.020 | 0.070 |
- Notes: This table reports the results of regressing the equity return on the lagged log dividend-price ratio and the lagged equity return (see Eq. (6)). The parameters are estimated by OLS using Newey-West standard errors with maximum lag order set equal to T1/2. The number of observations is 259 for the full sample, 107 for the first subsample and 152 for the second subsample. The standard errors are reported in square brackets
- ***, **, * denote significance levels of 1, 5, and 10%, respectively
