Expected Returns and Expected Dividend Growth : Time to Rethink an Established Empirical Literature
This paper examines various state-space and VAR model specifications to investigate the contributions of expected returns and expected dividend growth to movements in the price-dividend ratio. We show that both models involve serious inference problems that need to be dealt with carefully. We propose procedures that offer more reliable inference results and the corrected inferences indicate that the aggregate data of dividends and returns alone do not provide strong enough evidence to support the notion that the expected returns dominate the stock price variation. However, we show that an alternative measure of cash flows termed the net payout by Larrain and Yogo (2008) appears to lend strong support to the notion that the expected cash flow explains a large fraction of the firm value variation. This finding remains robust in both state-space and VAR decompositions with the corrected inference
Year of publication: |
2014
|
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Authors: | Ma, Jun |
Other Persons: | Wohar, Mark E. (contributor) |
Publisher: |
[2014]: [S.l.] : SSRN |
Subject: | Schätzung | Estimation | Dividende | Dividend | Börsenkurs | Share price | Aktienmarkt | Stock market | Volatilität | Volatility |
Saved in:
freely available
Extent: | 1 Online-Ressource (48 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 27, 2014 erstellt |
Other identifiers: | 10.2139/ssrn.1781324 [DOI] |
Classification: | G12 - Asset Pricing ; C32 - Time-Series Models ; c58 |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013068462
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