Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2009
Unpredictable dividend growth by the dividend-price ratio is considered a 'stylized fact' in post war US data. Using … tests and simulated small-sample tests and, following Cochrane (2008), we investigate the joint distribution of dividend-price … ratio coefficients in return and dividend growth regressions. …