Stock Market Predictability

[TDeval]

Hi there,

I currently have 575 monthly observations of the FTSE All Share Price dating back to 1965, along with corresponding dividend yeilds and dividend index.
I wish to use long horizon regression analysis to test the predictability of the stock market.
I would like to regress real returns on lagged returns but I'm not sure how to go about this.
Any advice whatsoever would be greatly appreciated as I know research using long horizon regression has not been conducted for many years.

Thanks
Tom

[startz]

Something like
ls log(p)-log(p(-12)) c x(-120)

To regress the one year return on x ten years earlier.

[TDeval]

I'm terribly sorry that I'm such a eviews newbie, so would 'p' be my series of the monthly stock market prices? and what would X be here?
Thank you once again for your first reply and thanks in advance for any more help.

Tom

[startz]

p would be the price. "x" would be whatever variable you are using to explain returns.

[TDeval]

I just want to thank you very much for your fast and extremely helpful replies.
I will no doubt be back asking more questions in the not so distant future and I just want you to know that your help is very valuable and appreciated.

Thanks
Tom