Dividend Yields Predictability of Stock Returns: Case of Emerging Markets

Autor:	Samer A. M. Al-Rjoub
Rok vydání:	2009
Předmět:	Autoregressive model Financial economics Econometrics Dividend yield Dividend Business Predictability Emerging markets Stock (geology) Impulse response
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
Popis:	We investigate the cross-sectional pattern of stock returns for eight emerging markets using Vector Autoregressive Approach (VAR) to test whether dividend yields can predict stock returns through impulse response characteristics. Our results confirm that dividend yield shocks play an important role in driving fluctuation in stock returns and this relation is positive.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::d75405b38ef73cab85b7c1cec471288a https://doi.org/10.2139/ssrn.1442851 Zobrazit plný text záznamu