@techreport{Jank2012Changes,
abstract = {This article documents how the changing composition of U.S. publicly traded firms has prompted a decline in the long-run mean of the aggregate dividend-price ratio, most notably since the 1970s. Adjusting the dividend-price ratio for such changes resolves several issues with respect to the predictability of stock market returns: The adjusted dividend-price ratio is less persistent, in-sample evidence for predictability is more pronounced, there is greater parameter stability in the predictive regression (particularly during the 1990s), and there is evidence of out-of-sample predictability.},
address = {Cologne},
author = {Stephan Jank},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G10; G12; G14; G35; 330; return predictability; dividend-price ratio; payout policy; sample selection; choice of organizational structure},
language = {eng},
number = {12-08},
publisher = {Centre for Financial Research},
title = {Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability},
type = {CFR Working Paper},
url = {http://hdl.handle.net/10419/66661},
year = {2012}
}
