goyal-welch

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Rohith7022 / return-predictability

Testing stock return predictability using lagged dividend-price ratio (Cochrane / Goyal-Welch) on CRSP annual and monthly data (1927-2024). 5-year R² of 8.41%. VCU FIRE 691.

python asset-pricing cochrane crsp return-predictability financial-analytics dividend-price-ratio goyal-welch

Updated Jun 18, 2026
Python

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