In the asset pricing literature, time-variation in market expected excess return captured by financial ratios like dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational mispricing. Extending the work on asset allocation and...

In the asset pricing literature, time-variation in market expected excess return captured by financial ratios like dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational mispricing. Extending the work on asset allocation and...

Many claim that GAAP financial information has become largely irrelevant to explaining valuations. Core et al. compare financial information's value relevance for the New Economy stocks with other stocks. We supplement their analysis with new evidence on the economic determinants of the...