|
EconStor >
Universität zu Köln >
Centre for Financial Research (CFR), Universität Köln >
CFR Working Papers, Centre for Financial Research (CFR), Universität Köln >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/66661
|
| | |
| Title: | | Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability  |
| Authors: | | Jank, Stephan |
| Issue Date: | | 2012 |
| Series/Report no.: | | CFR Working Paper 12-08 |
| 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. |
| Subjects: | | return predictability dividend-price ratio payout policy sample selection choice of organizational structure |
| JEL: | | G10 G12 G14 G35 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CFR Working Papers, Centre for Financial Research (CFR), Universität Köln
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/66661
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|