We empirically decompose the S&P 500's dividend yield into (1) a rational forecast of long-run real dividend growth, (2 …) the subjectively expected risk premium, and (3) residual mispricing attributed to the market's forecast of dividend growth …

We investigate a consumption-based present value relation that is a function of future dividend growth. Using data on … aggregate consumption and measures of the dividend payments from aggregate wealth, we show that changing forecasts of dividend … growth make an important contribution to fluctuations in the U.S. stock market, despite the failure of the dividend …

/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 …