Endnotes

Chapter 1

1. Using the S&P High Grade Corporate Index from 1930 to 1968, the Citigroup High Grade Index from 1969 to 1972, the Lehman Brothers U.S. Long Credit AA Index from 1973 to 1975, and the Barclays U.S. Aggregate Bond Index thereafter.

2. Harney, Matthew and Edward Tower. “Rational Pessimism: Predicting Equity Returns using Tobin's q and Price/Earnings Ratios,” Journal of Investing, January 2003.

3. Hall, R. E. “The Stock Market and Capital Accumulation,” American Economic Review 91, 1185–1202, 2001.

4. Liu, Laura Xiaolei and Erica X. N. Li. “Intangible Assets and Cross-Sectional Stock Returns: Evidence from Structural Estimation,” Working Paper, August 2010.

5. Source: PMFA, Standard & Poor's Compustat, Federal Reserve. 2011.

6. Blackrock Corp. “Can Investors Continue to Profit from Corporate Margins,” A Publication of the BlackRock Investment Institute, July 2011, https://www2.blackrock.com/webcore/litService/search/getDocument.seam?venue=PUB_IND&source=GLOBAL&contentId=1111144794.

7. Fama, E. and K. French. “Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay?” Journal of Financial Economics 60, 3–43, 2001.

8. Campbell, John Y. and Robert J. Shiller. “Valuation Ratios and the Long-Run Stock Market Outlook,” Journal of Portfolio Management, 24: 2, 11–26, 1998.

9. Cochrane, John H. 2008. “Is Now the Time to Buy Stocks?,” Wall Street Journal, November 12, A19. http://online.wsj.com/article/SB122645226692719401.html

Chapter 2

1. Solnik, ...

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