Dividend Growth Predictability and the Price–Dividend Ratio

Published Online:https://doi.org/10.1287/mnsc.2018.3155

References

  • Amihud Y, Hurvich C (2004) Predictive regression: A reduced bias estimation method. J. Financial Quant. Anal. 39(4):813–841.CrossrefGoogle Scholar
  • Amihud Y, Hurvich C, Whang Y (2009) Multiple-predictor regressions: Hypothesis testing. Rev. Financial Stud. 22(1):413–434.CrossrefGoogle Scholar
  • Andrews D (2002) Higher-order improvements of a computationally attractive k-step bootstrap for extremum estimators. Econometrica 70(6):119–162.CrossrefGoogle Scholar
  • Andrews D, Guggenberger P (2010) Application of subsampling, hybrid and size-correction methods. J. Econometrics 158(2):285–305.CrossrefGoogle Scholar
  • Ang A, Bekaert G (2007) Stock return predictability: Is it there? Rev. Financial Stud. 20(3):651–708.CrossrefGoogle Scholar
  • Bandi FM, Perron B, Tamoni A, Tebaldi C (2019) The scale of predictability. J. Econometrics. Forthcoming.CrossrefGoogle Scholar
  • Bansal R, Yaron A (2011) The asset pricing-macro nexus and return-cash flow predictability. Working paper, Fuqua School of Business, Duke University, Durham, NC.CrossrefGoogle Scholar
  • Beran R (1988) Prepivoting test statistics: A bootstrap view of asymptotic refinements. J. Amer. Statist. Assoc. 83(403):687–697.CrossrefGoogle Scholar
  • Bianchi D, Tamoni A (2016) The dynamics of expected returns: Evidence from multi-scale time series modeling. Working paper, Warwick Business School, University of Warwick, Coventry, UK.Google Scholar
  • Binsbergen J, Koijen RS (2010) Predictive regressions: A present-value approach. J. Finance 65(4):1439–1471.CrossrefGoogle Scholar
  • Binsbergen J, Brandt M, Koijen RS (2012) On the timing and pricing of dividends. Amer. Econom. Rev. 102(4):1596–1618.CrossrefGoogle Scholar
  • Binsbergen J, Hueskes WH, Koijen RS, Vrugt EB (2013) Equity yields. J. Financial Econom. 110(3):503–519.CrossrefGoogle Scholar
  • Boudoukh J, Michaely R, Richardson M, Roberts M (2007) On the importance of measuring payout yield: Implications for empirical asset pricing. J. Finance 62(2):877–915.CrossrefGoogle Scholar
  • Campbell JY (1991) A variance decomposition for stock returns. Econom. J. 101(405):157–179.Google Scholar
  • Campbell JY, Shiller RJ (1988) The dividend-price ratio and expectations of future dividends and discount factors. Rev. Financial Stud. 1(3):195–228.CrossrefGoogle Scholar
  • Campbell JY, Thompson SB (2008) Predicting excess stock returns out of sample: Can anything beat the historical average? Rev. Financial Stud. 21(4):1509–1531.CrossrefGoogle Scholar
  • Campbell JY, Yogo M (2006). Efficient tests of stock return predictability. J. Financial Econom. 81(1):27–60.CrossrefGoogle Scholar
  • Camponovo L, Scaillet O, Trojani F (2009) Robust resampling methods for time series. Swiss Finance Institute Research Paper No. 09-38, University of Geneva, Geneva.Google Scholar
  • Chen L (2009) On the reversal of return and dividend growth predictability: A tale of two periods. J. Financial Econom. 92(1):128–151.CrossrefGoogle Scholar
  • Chen L, Da Z, Priestley R (2012) Dividend smoothing and predictability. Management Sci. 58(10):1834–1853.LinkGoogle Scholar
  • Cochrane JH (1992) Explaining the variance of price-dividend ratios. Rev. Financial Stud. 5(2):243–280.CrossrefGoogle Scholar
  • Cochrane JH (2008a) The dog that did not bark: A defense of return predictability. Rev. Financial Stud. 21(4):1533–1576.CrossrefGoogle Scholar
  • Cochrane JH (2008b) State-space vs. VAR models for stock returns. Working paper, University of Chicago, Chicago.Google Scholar
  • Davidson R, MacKinnon J (1999a) Econometric Theory and Methods (Oxford University Press, New York).Google Scholar
  • Davidson R, MacKinnon J (1999b) The size distortion of bootstrap tests. Econometric Theory 15(3):361–376.CrossrefGoogle Scholar
  • Deb P, Sefton M (1996) The distribution of a Lagrange multiplier test of normality. Econom. Lett. 51(2):123–130.CrossrefGoogle Scholar
  • Efron B (1979) Bootstrap methods: Another look at the jacknife. Ann. Statist. 7(1):1–26.CrossrefGoogle Scholar
  • Fama EF, French KR (1988) Dividend yields and expected stock returns. J. Financial Econom. 22(3):3–25.CrossrefGoogle Scholar
  • Favero CA, Gozluklu AE, Tamoni A (2011) Demographic trends, the dividend-price ratio, and the predictability of long-run stock market returns. J. Financial Quant. Anal. 46(5):1493–1520.CrossrefGoogle Scholar
  • Goyal A, Welch I (2008) A comprehensive look at the empirical performance of equity premium prediction. Rev. Financial Stud. 21(4):1455–1508.CrossrefGoogle Scholar
  • Hall P, Horowitz J (1996) Bootstrap critical values for tests based on generalized-method-of-moment estimators. Econometrica 64(4):891–916.CrossrefGoogle Scholar
  • Jarque CM, Bera AK (1987) A test for normality of observations and regression residuals. Internat. Statist. Rev. 55(2):163–172.CrossrefGoogle Scholar
  • Keim DB, Stambaugh RF (1986) Predicting returns in the stock and bond markets. J. Financial Econom. 17(2):357–390.CrossrefGoogle Scholar
  • Koijen RS, Van Nieuwerburgh S (2011) Predictability of returns and cash flows. Annual Rev. Financial Econom. 3(1):467–491.CrossrefGoogle Scholar
  • Kothari SP, Shanken J (1997) Book-to-market, dividend yield, and expected market returns: A time series analysis. J. Financial Econom. 44(2):169–203.CrossrefGoogle Scholar
  • Larrain B, Yogo M (2008) Does firm value move too much to be justified by subsequent changes in cash flow? J. Financial Econom. 87(1):200–226.CrossrefGoogle Scholar
  • Lettau M, Ludvigson SC (2001) Consumption, aggregate wealth, and expected stock returns. J. Finance 56(3):815–849.CrossrefGoogle Scholar
  • Lettau M, Ludvigson SC (2005) Expected returns and expected dividend growth. J. Financial Econom. 76(3):583–626.CrossrefGoogle Scholar
  • Lettau M, Van Niewerburgh S (2008) Reconciling the return predictability evidence. Rev. Financial Stud. 21(4):1607–1652.CrossrefGoogle Scholar
  • Lewellen J (2004) Predicting returns with financial ratios. J. Financial Econom. 74(2):209–235.CrossrefGoogle Scholar
  • Liung L, Caines P (1979) Asymptotic normality of prediction error estimators for approximate system models. Stochastics 3(1–4):29–46.Google Scholar
  • Menzly L, Santos T, Veronesi P (2004) Understanding predictability. J. Political Econom. 112(1):1–47.CrossrefGoogle Scholar
  • Ortu F, Tamoni A, Tebaldi C (2013) Long-run risk and the persistence of consumption shocks. Rev. Financial Stud. 26(11):2876–2915.CrossrefGoogle Scholar
  • Pastor L, Stambaugh R (2009) Predictive systems: Living with imperfect predictors. J. Finance 64(4):1583–1628.CrossrefGoogle Scholar
  • Pastor L, Sinha M, Swaminathan B (2008) Estimating the intertemporal risk-return tradeoff using the implied cost of capital. J. Finance 63(6):2859–2897.CrossrefGoogle Scholar
  • Piatti I, Trojani F (2017). Predictable risks and predictive regression in present-value models. Working paper, Said Business School, University of Oxford, Oxford, UK.Google Scholar
  • Politis DN, Romano JP (1992) A circular block-resampling procedure for stationary data. LePage R, Billard L, eds. Exploring the Limits of Bootstrap (Wiley, New York), 263270.Google Scholar
  • Polk C, Thompson S, Vuolteenaho T (2006) Cross-sectional forecasts of the equity premium. J. Financial Econom. 81(1):101–141.CrossrefGoogle Scholar
  • Robertson D, Wright S (2006) Dividends, total cash flow to shareholders, and predictive return regressions. Rev. Econom. Statist. 88(1):91–99.CrossrefGoogle Scholar
  • Rodriguez A, Ruiz E (2009). Bootstrap prediction intervals in state-space models. J. Time Ser. Anal. 30(2):167–178.CrossrefGoogle Scholar
  • Romano JP, Wolf M (2001) Subsampling intervals in autoregressive models with linear time trend. Econometrica 69(5):1283–1314.CrossrefGoogle Scholar
  • Rozeff MS (1984) Dividend yields are equity risk premiums. J. Portfolio Management 11(1):68–75.CrossrefGoogle Scholar
  • Rytchkov O (2012) Filtering out expected dividends and expected returns. Quart. J. Finance 2(3):1250012.CrossrefGoogle Scholar
  • Sabbatucci R (2015) Are dividends and stock returns predictable? New evidence using M&A cash flows. Working paper, Stockholm School of Economics, Swedish House of Finance, Stockholm.CrossrefGoogle Scholar
  • Schiller R (1984) Stock prices and social dynamics. Brookings Papers Econom. Activity 2:457–498.CrossrefGoogle Scholar
  • Schorfheide F, Song D, Yaron A (2018) Identifying long-run risks: A Bayesian mixed-frequency approach. Econometrica. 86(2):617–654.CrossrefGoogle Scholar
  • Spall J, Wall K (1984) Asymptotic distribution theory for the Kalman filter state estimator. Commun. Statist. Theory Methods 13(16):1981–2003.CrossrefGoogle Scholar
  • Stambaugh R (1999) Predictive regressions. J. Financial Econom. 54(3):375–421.CrossrefGoogle Scholar
  • Stoffer D, Wall K (1991) Bootstrapping state-space models: Gaussian maximum likelihood estimation and the Kalman filter. J. Amer. Statist. Assoc. 86(416):1024–1033.CrossrefGoogle Scholar
  • Torous W, Valkanov R, Yan S (2004) On predicting stock returns with nearly integrated explanatory variables. J. Bus. 77(4):937–966.CrossrefGoogle Scholar
  • Wachter JA, Warusawitharana M (2009) Predictable returns and asset allocation: Should a skeptical investor time the market? J. Econometrics 148(2):162–178.CrossrefGoogle Scholar
  • Yun J (2012) Evaluating predictors within a present-value framework. Working paper, University of Chicago Booth School of Business, Chicago.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.