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Title:Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability PDF Logo
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

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