Note(s): Table 2 presents results of predictive regression z_t+k = α+β_kξ_t + _∈t+k,k. The four independent variables, ξ_t, in all regressions are the following: (1) FAMC, i.e. ratio of Fed assets to market cap, (2) change in consumer price index, Infl, (3) relative rate of return, relative short-term treasury rate (RREL), and (4) dividend to price ratio, dp. There are two dependent variables, z_t+1: (1) excess value-weighted market return r_vw^e and (2) excess equally weighted market return, r_ew^e. Newey and West (1986) standard errors are corrected for autocorrelation and heteroscedasticity using one lag. ***, ** and * represent statistical significance levels at 1, 5 and 10%, respectively. All variables used are in natural logs. Coefficients are annualized by multiplying with 12 and R² are in percentages

Everything in Panel C is the same as in panel B except (1) it presents results of the recent sub-sample 1953:04–2015:12 and (2) it contains an additional control, term spread. Panels B and C only report results for value-weighted market return without year fixed effects to save space, as the results for equally weighted market return with and without year fixed effects are materially the same