| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20651 |
| 来源ID | Working Paper 20651 |
| Growth Expectations, Dividend Yields, and Future Stock Returns | |
| Zhi Da; Ravi Jagannathan; Jianfeng Shen | |
| 发表日期 | 2014-11-03 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | According to the dynamic version of the Gordon growth model, the long-run expected return on stocks, stock yield, is the sum of the dividend yield on stocks plus some weighted average of expected future growth rates in dividends. We construct a measure of stock yield based on sell-side analysts' near-term earnings forecasts that predicts US stock index returns well, with an out-of-sample R-squared that is consistently above 2% at monthly frequency over our sample period. Stock yield also predicts future stock index returns in the US and other G7 countries and returns of US stock portfolios formed by sorting stocks based on firm characteristics, at various horizons. The findings are consistent with a single dominant factor driving expected returns on stocks over different holding periods. That single factor extracted from the cross section of stock yields using the Kelly and Pruitt (2013) partial regressions method predicts stock index returns better. The performance of the Binsbergen and Koijen (2010) latent factor model for forecasting stock returns improves significantly when stock yield is included as an imperfect observation of expected return on stocks. Consistent with folk wisdom, stock returns are more predictable coming out of a recession. Our measure performs as well in predicting stock returns as the implied cost of capital, another common stock yield measure that uses additional information. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w20651 |
| 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/578326 |
| 推荐引用方式 GB/T 7714 | Zhi Da,Ravi Jagannathan,Jianfeng Shen. Growth Expectations, Dividend Yields, and Future Stock Returns. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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