Rational models claim “trading to learn” explains widespread excessive speculative trading and challenge behavioral explanations of excessive trading. We argue rational learning models do not explain speculative trading by studying day traders in Taiwan. Consistent with previous studies of...

We find that a business-cycle component of the aggregate dividend yield strongly predicts short-term aggregate dividend growth and consumption growth, while its low-frequency counterpart significantly forecasts long-horizon market returns. The dividend yield, as the sum of these two components,...