The Lost Decade and a half.
The stock market is also heavily influenced by economic cycles, and the "hype" that can accompany late-cycle expansions. Many investors think that the stock market produces consistent returns over at least 10-year periods that include a full economic cycle. The Nasdaq was lower in Feb 2016 than it was exactly 16 years before, when it peaked in Feb 2000.
The stock market tends to move in the opposite direction of the unemployment rate. As the economic cycle is ending and the unemployment rate goes up, stocks go down, and a recession occurs. As the unemployment rate declines and the economy improves, stocks go up.
Nasdaq (left, blue). US Unemployment Rate (right)
Notice that the stock market tends to peak when unemployment rate declines have decelerated, and started bumping against their lows. As the unemployment rate begins to rise, the stock market tends to suffer the worst of the declines. After this decline, the stock market tends to start improving again before the unemployment rate peaks.
US Stock Market / GDP
Warren Buffet believes that the value of the stock market as a % of GDP as a whole is a good measure of value of where the stock market should be during the economic cycle. The higher the stock market is valued relative to the economy (GDP), the less likely we are to have high stock market returns going forward from today. And vise versa.