| 来源类型 | Working Paper
|
| 规范类型 | 报告
|
| DOI | 10.3386/w21557
|
| 来源ID | Working Paper 21557
|
| Dividend Dynamics, Learning, and Expected Stock Index Returns |
| Ravi Jagannathan; Binying Liu
|
| 发表日期 | 2015-09-14
|
| 出版年 | 2015
|
| 语种 | 英语
|
| 摘要 | We present a latent variable model of dividends that predicts, out-of-sample, 39.5% to 41.3% of the variation in annual dividend growth rates between 1975 and 2016. Further, when learning about dividend dynamics is incorporated into a long-run risks model, the model predicts, out-of-sample, 25.3% to 27.1% of the variation in annual stock index returns over the same time horizon, and learning contributes approximately half of the predictability in returns. These findings support the view that both investors' aversion to long-run risks and their learning about these risks are important in determining the stock index prices and expected returns. |
| 主题 | Financial Economics
; Financial Markets
; Portfolio Selection and Asset Pricing
|
| URL | https://www.nber.org/papers/w21557
|
| 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/579232
|
推荐引用方式
GB/T 7714 |
Ravi Jagannathan,Binying Liu. Dividend Dynamics, Learning, and Expected Stock Index Returns. 2015.
|
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