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We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the dividend yield, the earnings yield and the short rate. The predictability regression is suggested by a present value model with earnings growth, payout ratios and the short rate as state variables. We find the short rate to be the only robust short-run predictor of excess returns, and find little evidence of excess return predictability by earnings or dividend yields across alldoi:10.3386/w8207 fatcat:wp2gg4garzc5pjsidb2k3lvsvi