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Autor:innen: 
Erscheinungsjahr: 
2012
Schriftenreihe/Nr.: 
CFR Working Paper No. 12-08
Verlag: 
University of Cologne, Centre for Financial Research (CFR), Cologne
Zusammenfassung: 
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.
Schlagwörter: 
return predictability
dividend-price ratio
payout policy
sample selection
choice of organizational structure
JEL: 
G10
G12
G14
G35
Dokumentart: 
Working Paper

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