Dividends, earnings, and predictability

被引：9

作者：

Moller, Stig V. ^{[1
]}

Sander, Magnus ^{[1
]}

机构：

[1] Aarhus Univ, CREATES, Fuglesangs Alle 4, DK-8210 Aarhus, Denmark

来源：

JOURNAL OF BANKING & FINANCE | 2017年 / 78卷

基金：

新加坡国家研究基金会;

关键词：

Dividend yield; Earnings yield; Dividend growth predictability; Omitted variable bias; STOCK RETURNS; EXPECTED RETURNS; GROWTH; REGRESSIONS; INFERENCE; BEHAVIOR; YIELDS;

D O I：

10.1016/j.jbankfin.2017.02.008

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We show that the dividend yield and earnings yield jointly are strong predictors of dividend growth. We motivate the joint specification with a theoretical model and show how omitting the earnings yield biases the dividend yield coefficient towards zero, explaining why the dividend yield by itself is a poor predictor of dividend growth. Our empirical results are robust in pre- and post-war U.S. data, in recessions and expansions, in international data, and when controlling for additional predictors. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：153 / 163

页数：11

共 38 条

[1] Stock return predictability: Is it there? [J].

Ang, Andrew ;

Bekaert, Geert .

REVIEW OF FINANCIAL STUDIES, 2007, 20 (03) :651-707

[2]

[Anonymous], 20814 NBER

[3] SOME TIME SERIES PROPERTIES OF ACCOUNTING INCOME [J].

BALL, R ;

WATTS, R .

JOURNAL OF FINANCE, 1972, 27 (03) :663-681

[4] What Segments Equity Markets? [J].

Bekaert, Geert ;

Harvey, Campbell R. ;

Lundblad, Christian T. ;

Siegel, Stephan .

REVIEW OF FINANCIAL STUDIES, 2011, 24 (12) :3841-3890

[5] The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors [J].

Campbell, John Y. ;

Shiller, Robert J. .

REVIEW OF FINANCIAL STUDIES, 1988, 1 (03) :195-228

[6] Dividend Smoothing and Predictability [J].

Chen, Long ;

Da, Zhi ;

Priestley, Richard .

MANAGEMENT SCIENCE, 2012, 58 (10) :1834-1853

[7] On the reversal of return and dividend growth predictability: A tale of two periods [J].

Chen, Long .

JOURNAL OF FINANCIAL ECONOMICS, 2009, 92 (01) :128-151

[8] The dog that did not bark: A defense of return predictability [J].

Cochrane, John H. .

REVIEW OF FINANCIAL STUDIES, 2008, 21 (04) :1533-1575

[9] Presidential Address: Discount Rates [J].

Cochrane, John H. .

JOURNAL OF FINANCE, 2011, 66 (04) :1047-1108

[10] Predictive regressions with time-varying coefficients [J].

Dangl, Thomas ;

Hailing, Michael .

JOURNAL OF FINANCIAL ECONOMICS, 2012, 106 (01) :157-181

← 1 2 3 4 →