Could you predict stock returns with dividend-yields?
OOS = out-of-sample. IS = in-sample. When a line goes up, the variable helped predict. When it goes down, it hurt.
Ergo: Even dividend yields did not predict well out-of-sample. In-sample, they predicted well until about 1973.
Not shown, the same holds true for other variables we tried.
https://ssrn.com/abstract=1211941 and https://doi.org/10.1287/mnsc.49.5.639.15149. The latter explains how dividend yields predicted primarily themselves, rather than changes in growth or stock returns.
We are working on an update.