全球智库信息集成服务系统(G2TT): DP7734 Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP7734
	DP7734 Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns
	Carlo A. Favero; Arie Gozluklu; Andrea Tamoni
发表日期	2010-03-14
出版年	2010
语种	英语
摘要	This paper documents the existence of a slowly evolving trend in the dividend-price ratio, dpt, determined by a demographic variable, MY: the middle-aged to young ratio. Deviations of dpt from this long-run component explain transitory but persistent fluctuations in stock market returns. The relation between MY and dpt is a prediction of an overlapping generation model. The joint significance of MY and dpt in long-horizon forecasting regressions for market returns explain the mixed evidence on the ability of dpt to predict stock returns and provide a model-based interpretation of statistical corrections for breaks in the mean of this financial ratio.
主题	Financial Economics ; International Macroeconomics
关键词	Demographics Dynamic dividend growth model Long run returns predictability
URL	https://cepr.org/publications/dp7734
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/536571
推荐引用方式 GB/T 7714	Carlo A. Favero,Arie Gozluklu,Andrea Tamoni. DP7734 Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns. 2010.