Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/66661
Authors: 
Jank, Stephan
Year of Publication: 
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

Files in This Item:
File
Size
584.47 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.