Construction starts of skyscrapers predict subsequent US stock returns. The predictive ability exceeds that of alternatives such as the prevailing historical mean, predictions based on dividend ratios and recently suggested combination forecasts. One explanation for these patterns is that tower...

The economic gains from using equity premium forecasts are usually assessed by comparing a forecast-based strategy to a strategy based on the trailing historical mean. Whether these economic gains are statistically significant remains mostly untested. This paper shows that a buy-and-hold...

I approximate the interest that value investing attracts through the frequency with which terms such as “book to market ratio” appear in the corpus of books scanned by Google. Following the years in which investor interest in value is relatively high, the realized value premium is found to...