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This paper reports new evidence on the predictive power of dividend yield, book-to-market, and the earnings-price ratio. I show that previous studies overstate the bias in predictive regressions, and consequently, understate the forecasting power of the three financial ratios. Dividend yield predicts stock returns from 1946 – 1997, as well as in various subperiods. Book-to-market and the earnings-price ratio predict returns during the shorter 1963 – 1997 sample. The evidence remains strong despite the ratios’ poor forecasting ability in recent years.