We show that the classical dividend-price ratio (dp) is not stationary
we show that log-dividends and log-prices are cointegrated
We modify the classical dividend-price ratio, as the true trend deviation between dividends and prices (mdp)
we show that mdp provides substantially improved forecasting over classical dp
Out of sample, mdp achieves significant gains between 30 to 50% depending on the horizon and the method used.
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