We model dividend and consumption growth rates as containing a small long-run predictable component and economic … rate, and the ex-post volatilities of the market return, real risk free rate, and the price-dividend ratio. As in the data …, the model also implies that dividend yields predict returns and that market return volatility is stochastic. The main …

We use traded equity dividend strips from U.S., Europe, and Japan from 2004-2017 to study the slope of the term … structure of equity dividend risk premia. In the data, a robust finding is that the term structure of dividend risk premia … and expansion regimes. The unconditional population term structure of dividend-risk premia in the regime-switching model …

-form expressions for the first and second moments of returns and for the R2 of a regression of stock returns on the dividend …

suggested a whole range of variables that investors could or should use to predict: dividend price ratios, dividend yields …, earnings-price ratios, dividend payout ratios, net issuing ratios, book-market ratios, interest rates (in various guises), and …

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 …

-free rate with lagged aggregate dividend-yield ratios and dividend-price ratios. Prior to 1990, the conditional dividend yield … shows that the dividend ratios could not outperform the prevailing unconditional mean *out-of-sample*, plus any residual … increasing persistence of dividend-price ratio is largely responsible for weak stock return predictability …

We develop a nonlinear state-space model that captures the joint dynamics of consumption, dividend growth, and asset … returns. Our model consists of an economy containing a common predictable component for consumption and dividend growth and …

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

to obtain a term structure of expected dividend growth rates and a term structure of risk premia, which allows us to … decompose the equity risk premium by maturity. We find that both expected dividend growth rates and risk premia exhibit … substantial variation over time, particularly for short maturities. In addition to predicting dividend growth, equity yields help …