Dividend Growth Predictability and the Price–Dividend Ratio
Published Online:20 May 2019https://doi.org/10.1287/mnsc.2018.3155
References
- (2004) Predictive regression: A reduced bias estimation method. J. Financial Quant. Anal. 39(4):813–841.Crossref, Google Scholar
- (2009) Multiple-predictor regressions: Hypothesis testing. Rev. Financial Stud. 22(1):413–434.Crossref, Google Scholar
- (2002) Higher-order improvements of a computationally attractive k-step bootstrap for extremum estimators. Econometrica 70(6):119–162.Crossref, Google Scholar
- (2010) Application of subsampling, hybrid and size-correction methods. J. Econometrics 158(2):285–305.Crossref, Google Scholar
- (2007) Stock return predictability: Is it there? Rev. Financial Stud. 20(3):651–708.Crossref, Google Scholar
- (2019) The scale of predictability. J. Econometrics. Forthcoming.Crossref, Google Scholar
- (2011) The asset pricing-macro nexus and return-cash flow predictability. Working paper, Fuqua School of Business, Duke University, Durham, NC.Crossref, Google Scholar
- (1988) Prepivoting test statistics: A bootstrap view of asymptotic refinements. J. Amer. Statist. Assoc. 83(403):687–697.Crossref, Google Scholar
- (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
- (2010) Predictive regressions: A present-value approach. J. Finance 65(4):1439–1471.Crossref, Google Scholar
- (2012) On the timing and pricing of dividends. Amer. Econom. Rev. 102(4):1596–1618.Crossref, Google Scholar
- (2013) Equity yields. J. Financial Econom. 110(3):503–519.Crossref, Google Scholar
- (2007) On the importance of measuring payout yield: Implications for empirical asset pricing. J. Finance 62(2):877–915.Crossref, Google Scholar
- (1991) A variance decomposition for stock returns. Econom. J. 101(405):157–179.Google Scholar
- (1988) The dividend-price ratio and expectations of future dividends and discount factors. Rev. Financial Stud. 1(3):195–228.Crossref, Google Scholar
- (2008) Predicting excess stock returns out of sample: Can anything beat the historical average? Rev. Financial Stud. 21(4):1509–1531.Crossref, Google Scholar
- (2006). Efficient tests of stock return predictability. J. Financial Econom. 81(1):27–60.Crossref, Google Scholar
- (2009) Robust resampling methods for time series. Swiss Finance Institute Research Paper No. 09-38, University of Geneva, Geneva.Google Scholar
- (2009) On the reversal of return and dividend growth predictability: A tale of two periods. J. Financial Econom. 92(1):128–151.Crossref, Google Scholar
- (2012) Dividend smoothing and predictability. Management Sci. 58(10):1834–1853.Link, Google Scholar
- (1992) Explaining the variance of price-dividend ratios. Rev. Financial Stud. 5(2):243–280.Crossref, Google Scholar
- (2008a) The dog that did not bark: A defense of return predictability. Rev. Financial Stud. 21(4):1533–1576.Crossref, Google Scholar
- (2008b) State-space vs. VAR models for stock returns. Working paper, University of Chicago, Chicago.Google Scholar
- (1999a) Econometric Theory and Methods (Oxford University Press, New York).Google Scholar
- (1999b) The size distortion of bootstrap tests. Econometric Theory 15(3):361–376.Crossref, Google Scholar
- (1996) The distribution of a Lagrange multiplier test of normality. Econom. Lett. 51(2):123–130.Crossref, Google Scholar
- (1979) Bootstrap methods: Another look at the jacknife. Ann. Statist. 7(1):1–26.Crossref, Google Scholar
- (1988) Dividend yields and expected stock returns. J. Financial Econom. 22(3):3–25.Crossref, Google Scholar
- (2011) Demographic trends, the dividend-price ratio, and the predictability of long-run stock market returns. J. Financial Quant. Anal. 46(5):1493–1520.Crossref, Google Scholar
- (2008) A comprehensive look at the empirical performance of equity premium prediction. Rev. Financial Stud. 21(4):1455–1508.Crossref, Google Scholar
- (1996) Bootstrap critical values for tests based on generalized-method-of-moment estimators. Econometrica 64(4):891–916.Crossref, Google Scholar
- (1987) A test for normality of observations and regression residuals. Internat. Statist. Rev. 55(2):163–172.Crossref, Google Scholar
- (1986) Predicting returns in the stock and bond markets. J. Financial Econom. 17(2):357–390.Crossref, Google Scholar
- (2011) Predictability of returns and cash flows. Annual Rev. Financial Econom. 3(1):467–491.Crossref, Google Scholar
- (1997) Book-to-market, dividend yield, and expected market returns: A time series analysis. J. Financial Econom. 44(2):169–203.Crossref, Google Scholar
- (2008) Does firm value move too much to be justified by subsequent changes in cash flow? J. Financial Econom. 87(1):200–226.Crossref, Google Scholar
- (2001) Consumption, aggregate wealth, and expected stock returns. J. Finance 56(3):815–849.Crossref, Google Scholar
- (2005) Expected returns and expected dividend growth. J. Financial Econom. 76(3):583–626.Crossref, Google Scholar
- (2008) Reconciling the return predictability evidence. Rev. Financial Stud. 21(4):1607–1652.Crossref, Google Scholar
- (2004) Predicting returns with financial ratios. J. Financial Econom. 74(2):209–235.Crossref, Google Scholar
- (1979) Asymptotic normality of prediction error estimators for approximate system models. Stochastics 3(1–4):29–46.Google Scholar
- (2004) Understanding predictability. J. Political Econom. 112(1):1–47.Crossref, Google Scholar
- (2013) Long-run risk and the persistence of consumption shocks. Rev. Financial Stud. 26(11):2876–2915.Crossref, Google Scholar
- (2009) Predictive systems: Living with imperfect predictors. J. Finance 64(4):1583–1628.Crossref, Google Scholar
- (2008) Estimating the intertemporal risk-return tradeoff using the implied cost of capital. J. Finance 63(6):2859–2897.Crossref, Google Scholar
- (2017). Predictable risks and predictive regression in present-value models. Working paper, Said Business School, University of Oxford, Oxford, UK.Google Scholar
- (1992) A circular block-resampling procedure for stationary data. LePage R, Billard L, eds. Exploring the Limits of Bootstrap (Wiley, New York), 263–270.Google Scholar
- (2006) Cross-sectional forecasts of the equity premium. J. Financial Econom. 81(1):101–141.Crossref, Google Scholar
- (2006) Dividends, total cash flow to shareholders, and predictive return regressions. Rev. Econom. Statist. 88(1):91–99.Crossref, Google Scholar
- (2009). Bootstrap prediction intervals in state-space models. J. Time Ser. Anal. 30(2):167–178.Crossref, Google Scholar
- (2001) Subsampling intervals in autoregressive models with linear time trend. Econometrica 69(5):1283–1314.Crossref, Google Scholar
- (1984) Dividend yields are equity risk premiums. J. Portfolio Management 11(1):68–75.Crossref, Google Scholar
- (2012) Filtering out expected dividends and expected returns. Quart. J. Finance 2(3):1250012.Crossref, Google Scholar
- (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.Crossref, Google Scholar
- (1984) Stock prices and social dynamics. Brookings Papers Econom. Activity 2:457–498.Crossref, Google Scholar
- (2018) Identifying long-run risks: A Bayesian mixed-frequency approach. Econometrica. 86(2):617–654.Crossref, Google Scholar
- (1984) Asymptotic distribution theory for the Kalman filter state estimator. Commun. Statist. Theory Methods 13(16):1981–2003.Crossref, Google Scholar
- (1999) Predictive regressions. J. Financial Econom. 54(3):375–421.Crossref, Google Scholar
- (1991) Bootstrapping state-space models: Gaussian maximum likelihood estimation and the Kalman filter. J. Amer. Statist. Assoc. 86(416):1024–1033.Crossref, Google Scholar
- (2004) On predicting stock returns with nearly integrated explanatory variables. J. Bus. 77(4):937–966.Crossref, Google Scholar
- (2009) Predictable returns and asset allocation: Should a skeptical investor time the market? J. Econometrics 148(2):162–178.Crossref, Google Scholar
- (2012) Evaluating predictors within a present-value framework. Working paper, University of Chicago Booth School of Business, Chicago.Crossref, Google Scholar

