scholarly journals Expected returns and expected dividend growth in Europe: Legal origin, institutional, and financial determinants

2018 ◽  
Vol 23 (4) ◽  
pp. 533-545 ◽  
Author(s):  
Dooruj Rambaccussing ◽  
David Power
Keyword(s):  
Expected Returns ◽  
Legal Origin ◽  
Dividend Growth

scholarly journals Expected Returns and Expected Dividend Growth

10.3386/w9605 ◽  
2003 ◽  
Author(s):  
Martin Lettau ◽  
Sydney Ludvigson
Keyword(s):  
Expected Returns ◽  
Dividend Growth

scholarly journals Expected returns and expected dividend growth

2005 ◽  
Vol 76 (3) ◽  
pp. 583-626 ◽  
Author(s):  
Martin Lettau ◽  
Sydney C. Ludvigson
Keyword(s):  
Expected Returns ◽  
Dividend Growth

Dividend Yields, Dividend Growth, and Return Predictability in the Cross Section of Stocks

2015 ◽  
Vol 50 (1-2) ◽  
pp. 33-60 ◽  
Author(s):  
Paulo Maio ◽  
Pedro Santa-Clara
Keyword(s):  
Cross Section ◽  
Presidential Address ◽  
Variance Decomposition ◽  
Return Predictability ◽  
Expected Returns ◽  
First Order ◽  
Value Stocks ◽  
Econometric Methodology ◽  
The Cross ◽  
Dividend Growth

AbstractThere is a generalized conviction that variation in dividend yields is exclusively related to expected returns and not to expected dividend growth, for example, Cochrane’s (2011) presidential address. We show that this pattern, although valid for the aggregate stock market, is not true for portfolios of small and value stocks, where dividend yields are related mainly to future dividend changes. Thus, the variance decomposition associated with the aggregate dividend yield has important heterogeneity in the cross section of equities. Our results are robust to different forecasting horizons, econometric methodology (long-horizon regressions or first-order vector autoregression), and alternative decomposition based on excess returns.

Evaluating Predictors within a Present-Value Framework

2013 ◽  
Vol 03 (02) ◽  
pp. 1350008 ◽  
Author(s):  
Jhe Yun
Keyword(s):  
Growth Rates ◽  
Small Sample ◽  
Corporate Bond ◽  
Expected Returns ◽  
Present Value ◽  
Aggregate Information ◽  
Bond Yield ◽  
Out Of Sample ◽  
Book To Market Ratio ◽  
Dividend Growth

I impose functional-form restrictions on the time-series processes of expected returns and expected dividend growth rates to better estimate them in a small sample. The approach helps to aggregate information contained in the entire history of prices, dividend growth, and additional predictors without parameter proliferation. I find that both expected returns and expected dividend growth rates are substantially time-varying, positively correlated with each other, and covary with several macroeconomic variables. The estimated expectations of returns and dividend growth rates are strong predictors of realized returns and dividend growth rates, respectively, both in-sample and out-of-sample. Book-to-Market Ratio, Stock Variance, Consumption-Wealth-Income Ratio, and BAA-rated Corporate Bond Yield significantly improve the return and dividend forecasts of my present-value model.

Sign in / Sign up

Export Citation Format

Share Document