We characterize an information cliff in the stock market: the supply of information on aggregate cash flows drops precipitously beyond a one-year horizon, and so does analyst forecast accuracy. We use a generalized state-space model to explore the …

The ratio of long- to short-term dividend prices, “price ratio” ($p{r}_t$), predicts annual market return with an out-of-sample $R^2$ of 19%, subsuming the predictive power of price-dividend ratio ($p{d}_t$). After controlling for $p{r}_t$, $p{d}_t$ …