全球智库信息集成服务系统(G2TT): Predicting the Equity Premium With Dividend Ratios

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w8788
来源ID	Working Paper 8788
	Predicting the Equity Premium With Dividend Ratios
	Amit Goyal; Ivo Welch
发表日期	2002-02-14
出版年	2002
语种	英语
摘要	Our paper reexamines the forecasting regressions which predict annual aggregate stock market returns net of the risk-free rate with lagged aggregate dividend-yield ratios and dividend-price ratios. Prior to 1990, the conditional dividend yield could reliably outperform the historical equity premium mean in predicting future equity premia in-sample. But our paper shows that the dividend ratios could not outperform the prevailing unconditional mean out-of-sample, plus any residual power was directly related to only two years, 1974 and 1975. As of 2000, even this in-sample predictive ability has disappeared. Our paper also documents changes in the time-series processes of the dividends themselves and shows that an increasing persistence of dividend-price ratio is largely responsible for weak stock return predictability.
主题	Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w8788
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/566395
推荐引用方式 GB/T 7714	Amit Goyal,Ivo Welch. Predicting the Equity Premium With Dividend Ratios. 2002.