/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast … business cycle, with expected returns increasing in recessions. We also find that, except for the period after 1945, dividend … yields predict dividend growth rates …

The company's unique full-payout dividend policy allows us to estimate an asset pricing model with fundamentally … dividend yield in real terms was slightly in excess of is 5% per annum, while the long-term price growth was near zero …

unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend … ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are …

Many leading asset pricing models predict that the term structures of expected returns and volatilities on dividend … these models replace their exogenously specified dividend dynamics with processes that are derived endogenously from capital …) when leverage is low (high), which shifts risk from long-horizon to short-horizon dividend strips. This framework also …

conditions under which the variation in a small asset's price-dividend ratio can be attributed almost entirely to variation in …

through principal component analysis of the covariance matrix of log price dividend ratios of twenty five equity portfolios … formed on Size and Book-to-Market. We identify two price-dividend ratio factor proxies for economy wide long run risk, one … returns alone. The price dividend ratio factors perform better than the stock index price dividend ratio and the corporate …

firm shifts its dividend risk to the upside, which amplifies the overvaluation and explains the premium. Second, we argue … market through a higher share price, but is inefficient from the perspective of dividend value …

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 …

, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price-dividend … the dynamics of the expected return and the price-dividend ratio. By parameterizing one or more of expected returns …