Predicting the Equity Premium with Dividend Ratios
Predicting the Equity Premium with Dividend Ratios - jstor
Over shorter horizons, dividend yields primarily forecast themselves. (Equity Premium; Stock Returns; Dividend Yield; Out-of-Sample Prediction). 1. Introduction.
Predicting the Equity Premium with Dividend Ratios
Our paper reexamines the forecasting regressions which predict annual aggregate stock market returns net of the risk-free rate with lagged aggregate dividend- ...
Predicting the Equity Premium with Dividend Ratios - PubsOnLine
ratio forecast. Section 10 concludes. 640. MANAGEMENt SciENcE/Vol. 49, No. 5, May 2003. Page 3. GOYAL AND WELCH. Predicting the Equity Premium with Dividend ...
Predicting the equity premium with dividend ratios - ScienceDirect.com
GW argue that changes in dividend ratio autocorrelation and in the ability to predict changes in dividend growth could themselves imply changes in the dividend ...
Predicting the Equity Premium With Dividend Ratios
PREDICTING THE EQUITY PREMIUM WITH DIVIDEND RATIOS. Amit Goyal. Ivo Welch. Working Paper 8788 http://www.nber.org/papers/w8788. NATIONAL BUREAU ...
Predicting the Equity Premium With Dividend Ratios | NBER
Predicting the Equity Premium With Dividend Ratios ... Our paper reexamines the forecasting regressions which predict annual aggregate stock ...
Predicting the Equity Premium with Dividend Ratios - PubsOnLine
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 ...
Predicting the equity premium with dividend ratios: a matter of balance
impossible for dividend ratios to predict the equity premium; that a careful analysis of the data suggests the regression and forecasting results presented by.
Predicting the Equity Premium with Dividend Ratios - IDEAS/RePEc
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 ...
Predicting the Equity Premium with Dividend Ratios
Cochrane (1997)'s accounting identity—that dividend ratios have to predict long-run dividend growth or stock returns—empirically holds only over horizons longer ...
Predicting the Equity Premium With Dividend Ratios - IDEAS/RePEc
But our paper shows that the dividend ratios could not outperform the prevailing unconditional mean *out-of-sample*, plus any residual power was directly ...
Predicting the Equity Premium with Dividend Ratios - Labordoc
Our paper suggests a simple, recursive residuals (out-of-sample) graphical approach to evaluating the predictive power of popular equity premium and stock ...
Predicting the Equity Premium with Dividend Ratios
Cochrane's (1997) accounting identity--that dividend ratios have to predict long-run dividend growth or stock returns--empirically holds only over horizons ...
Predicting the UK Equity Premium with Dividend Ratios
The purpose of this paper is to evaluate the ability of dividend ratios to predict the UK equity premium. Specifically, we apply the Goyal and Welch (2003) ...
Predicting the equity premium with dividend ratios
Predicting the equity premium with dividend ratios: Reconciling the evidence ; Kellard, Neil M · Nankervis, John C · Papadimitriou, Fotios I ...
Predicting the equity premium with dividend ratios - ResearchGate
Using a graphical approach, Goyal & Welch, (2003) found inconsistent results between dividend payout ratio and dividend yield in predicting equity premium. ...
Predicting equity premium with adjusted dividend-price ratio
This paper introduces an easy-to-follow modification in the conventional dividend-price ratio that can be replicated by researchers and practitioners alike.
Predicting the equity premium with dividend ratios: a matter of balance
It appears there is no meaningful, statistically appropriate linear relationship between dividend ratios and the equity premium. Furthermore, ...
Predicting the Equity Premium With Dividend Ratios | Request PDF
Although both dividends could be used to predict equity premium, the dividend ratio had only a mild correlation in post-WW2. ... ... Although both dividends ...
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- ...