E14.2 Read the boxes “Can You Beat the Market? Part I” and “Can You Beat the Market? Part II” in this chapter. Next, go to the course website, where you will find an extended version of the data set described in the boxes;

the data are in the file Stock_Returns_1931_2002 and are described in the file Stock_Returns_1931_2002_Description.

a. Repeat the calculations reported in Table 14.2, using regressions estimated over the 1932:M1–2002:M12 sample period.

b. Repeat the calculations reported in Table 14.6, using regressions estimated over the 1932:M1–2002:M12 sample period.

c. Is the variable ln(dividend yield) highly persistent? Explain.

d. Construct pseudo out-of-sample forecasts of excess returns over the 1983:M1–2002:M12 period, using regressions that begin in 1932:M1.

e. Do the results in

(a) through

(d) suggest any important changes to the conclusions reached in the boxes? Explain