"We recover prices of dividend strips on the aggregate stock market using data from derivatives markets. The price of a … k-year dividend strip is the present value of the dividend paid in k years. The value of the stock market is the sum of … all dividend strip prices across maturities. We study the properties of strips and find that expected returns, Sharpe …

"The predictability of the market return and dividend growth is addressed in an equilibrium model with two regimes. A … state variable that drives the conditional means of the aggregate consumption and dividend growth rates follows different … by the price-dividend ratio with R2 11.7% if the probability of being in the first regime exceeds 50%; and dividend …

"We develop a model where dividend payout, investment and financing decisions are made by managers who attempt to …

the expected returns and expected dividend growth rates of the aggregate stock market. This approach aggregates … information contained in the history of price-dividend ratios and dividend growth rates to predict future returns and dividend … growth rates. We find that returns and dividend growth rates are predictable with R-squared values ranging from 8.2% to 8 …