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https://hdl.handle.net/10419/66661
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Jank, Stephan | en |
dc.date.accessioned | 2012-11-19 | - |
dc.date.accessioned | 2012-11-21T12:45:01Z | - |
dc.date.available | 2012-11-21T12:45:01Z | - |
dc.date.issued | 2012 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aUniversity of Cologne, Centre for Financial Research (CFR) |cCologne | en |
dc.relation.ispartofseries | |aCFR Working Paper |x12-08 | en |
dc.subject.jel | G10 | en |
dc.subject.jel | G12 | en |
dc.subject.jel | G14 | en |
dc.subject.jel | G35 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | return predictability | en |
dc.subject.keyword | dividend-price ratio | en |
dc.subject.keyword | payout policy | en |
dc.subject.keyword | sample selection | en |
dc.subject.keyword | choice of organizational structure | en |
dc.title | Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 730051781 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:cfrwps:1208 | en |
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