On Equity Premium and Dividend Growth Predictability: Economic Fundamentals Matter!

2014 ◽  
Author(s):  
Jiahan Li ◽  
Ilias Tsiakas
Keyword(s):  
Equity Premium ◽  
Economic Fundamentals ◽  
Dividend Growth

Dynamic Asset Pricing

2017 ◽  
Author(s):  
Kerry E. Back
Keyword(s):  
Growth Model ◽  
Equity Premium ◽  
Risk Premia ◽  
Conditional Capm ◽  
Conditional Models ◽  
Risk Free Rate ◽  
Managed Portfolios ◽  
Dynamic Asset Pricing ◽  
Free Rate ◽  
Dividend Growth

The distinction between conditional and unconditional factor pricing models is explained. The conditional CAPM implies that unconditional risk premia are linear in the expected beta and the beta of the beta. The CCAPM and ICAPM are derived as approximate relations in discrete time. Testing conditional models is equivalent to unconditional tests of pricing for managed portfolios. The Gordon growth model is derived, assuming that dividend growth and the single‐period SDF are IID over time. The equity premium and risk‐free rate puzzles are derived from the Gordon growth model with a CRRA investor and lognormal consumption growth. The Campbell‐Shiller linearization implies that dividend yields predict either future returns or future dividend growth.

scholarly journals Dividend growth and equity premium predictability

2018 ◽  
Vol 56 ◽  
pp. 125-137 ◽  
Author(s):  
Min Zhu ◽  
Rui Chen ◽  
Ke Du ◽  
You-Gan Wang
Keyword(s):  
Equity Premium ◽  
Dividend Growth

Estimating the Equity Premium

CFA Digest ◽  
2011 ◽  
Vol 41 (2) ◽  
pp. 42-44
Author(s):  
Ahmed Sule
Keyword(s):  
Equity Premium
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