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dc.contributor.authorJank, Stephanen_US
dc.date.accessioned2012-11-19en_US
dc.date.accessioned2012-11-21T12:45:01Z-
dc.date.available2012-11-21T12:45:01Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/66661-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherCentre for Financial Research Cologneen_US
dc.relation.ispartofseriesCFR Working Paper 12-08en_US
dc.subject.jelG10en_US
dc.subject.jelG12en_US
dc.subject.jelG14en_US
dc.subject.jelG35en_US
dc.subject.ddc330en_US
dc.subject.keywordreturn predictabilityen_US
dc.subject.keyworddividend-price ratioen_US
dc.subject.keywordpayout policyen_US
dc.subject.keywordsample selectionen_US
dc.subject.keywordchoice of organizational structureen_US
dc.titleChanges in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictabilityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn730051781en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfrwps:1208-
Appears in Collections:CFR Working Papers, Centre for Financial Research (CFR), Universität Köln

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