Expected Returns and Dividend Growth Rates Implied in Derivative Markets

2011 ◽  
Author(s):  
Benjamin Golez
Keyword(s):  
Growth Rates ◽  
Expected Returns ◽  
Derivative Markets ◽  
Dividend Growth

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.

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 The effects of economic policy uncertainty on stock market returns: Evidence from Brazil

2021 ◽  
Vol 19 (3) ◽  
pp. 53-84
Author(s):  
Cristiane Gea ◽  
Luciano Vereda ◽  
Antonio Carlos Figueiredo Pinto ◽  
Marcelo Cabus Klotzle
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
Stock Returns ◽  
Growth Rates ◽  
Policy Uncertainty ◽  
Stock Market Returns ◽  
Economic Policy Uncertainty ◽  
Future Performance ◽  
Excess Stock Returns ◽  
Dividend Growth

This article investigates the effects of economic policy uncertainty on the Brazilian stock market. We link excess returns and dividend growth rates to the economic policy uncertainty index of Baker et al. (2016) and other control variables. In recent years, Brazil has experienced political tensions, which affected its economic policy. Therefore, this country is the most suitable environment to test the hypothesis that this measure of economic policy uncertainty has an informational content not wholly reflected in the usual constructs of economic uncertainty and economic distress. Our results show that economic policy uncertainty (i) correlates negatively with current excess stock returns; (ii) correlates positively with future excess stock returns, showing itself to be a good predictor of future performance of the stock market; (iii) is not significantly related to future dividend growth rates; and (iv) anticipates changes in discount rates.

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
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