I document a robust pattern in how Treasury market participants' yield curve expectations respond to new information: forecasts for short-term rates underreact to news while forecasts for long-term rates overreact. I propose a new explanation of this …

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 $p{r}_t$, $p{d}_t$ …