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Predicting the Equity Premium with Dividend Ratios


Predicting equity premium with adjusted dividend-price ratio

The authors find that the adjusted dividend-price ratio provides superior out-of-sample (OOS) performance compared to the conventional dividend- ...

"Stock Returns and Equity Premium Evidence Using Dividend Price ...

The empirical findings of Goyal and Welch (2003) and Cochrane (2006) suggested that dividend yields and dividend ratios are robust predictors of annual ...

Out-of-Sample Equity Premium Prediction: Consistently Beating the ...

Examples include valuation ratios such as the dividend price (Dow, 1920; Fama and French, 1988), earnings price (Campbell and Shiller, 1988, 1998), and book to ...

Predicting the Equity Premium with Combination Forecasts

Forecasting stock returns is a challenging task. Welch and Goyal (2008) showed that a large number of variables suggested in the literature fail to predict the ...

Bagging Constrained Equity Premium Predictors

... dividend ratios as a possible predictor for returns. In the 1980s, a number of authors presented empirical evidence of ex-post (in-sample) return ...

The informativeness of dividend ratios and their economic predictive ...

predict the equity premium in the UK and US markets and two US sub-indices (S&P 500 Growth and S&P 500. Value). Design/methodology/approach – In this paper, the ...

Predicting the Equity Premium

A “changing market” model which suggests time-decay in the dividend yield coefficient dominates any other known models in forecasting the equity ...

Equity Premium and Dividend Yield regressions: A lot of noise, little ...

Even if such a relationship does exist, there is so much noise in the equity premium that estimation, inference and forecasting cannot be carried out using the ...

Generalized financial ratios to predict the equity premium

Exploiting the information in the rolling window log-log regression of stock prices on dividends, we obtain the Generalized Price-Dividend Ratio ...

The Predictive Power of the Dividend Risk Premium | Cambridge Core

We show that the dividend growth rate implied by the options market is informative about i) the expected dividend growth rate and ii) the ...

Forecasting the equity premium in the Australian market

The lagged dividend yield model is used to predict future equity premia on a data series that includes the top 85 percent of the Australian stock market. An.

The Equity Risk Premium: A Review of Models

Only predictor is the dividend-price ratio of the S&P 500. Goyal and Welch (2008). Uses, at each point in time, the best out-of-sample predictor out of twelve ...

SSRN - Generalized Financial Ratios to Predict the Equity Premium

Empirical evidence for the price-dividend ratio to be a predictor of the equity premium is weak. We argue that changes in the economic conditions and market ...

Generalized financial ratios to predict the equity premium

Empirical evidence for the price-dividend ratio to be a predictor of the equity premium is weak. We argue that changes in the economic conditions and market ...

Comprehensive Look at The Empirical Performance of Equity ...

Attempts to predict stock market returns or the equity premium have a long tradition in finance. As early as 1920, Dow (1920) explored the role of dividend ...

Stock returns and equity premium predictability using dividend price ...

Keywords: Dividend yields, dividend price ratios, Stock returns, Equity Premium and Asian Financial ... Predicting the Equity Premium with ...

Predicting the equity premium with the implied volatility spread

Using the dividend yield to model the expected risk premium, we find at most 65% fewer significant alphas, and in the Carhart model conditioning ...

Equity Premium Predictability - CFA Society Toronto

Goyal, A., and Welch, I., 2003, “Predicting the equity premium with dividend ratios,”. Management Science, 49, 639–654. Granger, C.W.J., Hyung, N., and Jeon ...

Predicting the equity premium with the implied volatility spread

The predictive ability of the IVS is unrelated to the dividend yield and is useful in explaining the cross-section of returns. Decomposing the IVS, we find ...

Predicting the Equity Premium Out of Sample: Can Anything Beat ...

During the 1980Gs a number of papers studied valuation ratios, such as the dividendMprice ratio, earningsM price ratio, or smoothed earningsMprice ratio.