Predictive regressions: a present-value approach
| Autor: | Koijen, R, van Binsbergen, J H |
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| Rok vydání: | 2010 |
| Popis: | We propose a latent variables approach within a present-value model to estimate the expected returns and expected dividend growth rates of the aggregate stock market. This approach aggregates information contained in the history of price-dividend ratios and dividend growth rates to predict future returns and dividend growth rates. We find that returns and dividend growth rates are predictable with values ranging from 8.2% to 8.9% for returns and 13.9% to 31.6% for dividend growth rates. Both expected returns and expected dividend growth rates have a persistent component, but expected returns are more persistent than expected dividend growth rates. |
| Databáze: | OpenAIRE |
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