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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
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Jank, Stephan | | en_US |
| dc.date.accessioned | | 2012-11-19 | | en_US |
| dc.date.accessioned | | 2012-11-21T12:45:01Z | | - |
| dc.date.available | | 2012-11-21T12:45:01Z | | - |
| dc.date.issued | | 2012 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/66661 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Centre for Financial Research Cologne | | en_US |
| dc.relation.ispartofseries | | CFR Working Paper 12-08 | | en_US |
| dc.subject.jel | | G10 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.jel | | G14 | | en_US |
| dc.subject.jel | | G35 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | return predictability | | en_US |
| dc.subject.keyword | | dividend-price ratio | | en_US |
| dc.subject.keyword | | payout policy | | en_US |
| dc.subject.keyword | | sample selection | | en_US |
| dc.subject.keyword | | choice of organizational structure | | en_US |
| dc.title | | Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 730051781 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | CFR Working Papers, Centre for Financial Research (CFR), Universität Köln
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