This study dives deep into the complexities of long-term stock market predictability, utilizing Tobin's Q and dividend yield across a 119-year dataset. By scrutinizing the equilibrium relationship within the US aggregate stock market, the research offers practitioners robust forecasting tools, challenging conventional perspectives on market returns.
This research adopts an approach leveraging Tobin's Q and dividend yield. Spanning over a century of data, the study constructs a comprehensive Vector Error Correction Model (VECM) for the US stock market, providing practitioners with effective forecasting capabilities. The results challenge conventional ways, emphasizing the significance of long-term predictions and offering valuable insights applicable to the landscape of UK price controls.
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