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 …

values of returns, dividend growth, the dividend-price ratio, and all Campbell-Shiller-style regression results involving …

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 …

predictability, leaving dividend growth predictability at its essentially zero sample value. If neither returns nor dividend growth … are predictable, then the dividend-price ratio is a constant. If the null turns off return predictability, it must turn on … the predictability of dividend growth, and then confront the evidence against such predictability in the data. I find that …

-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 …

the sum of the dividend yield on stocks plus some weighted average of expected future growth rates in dividends. We …

We examine abnormal stock returns surrounding contemporaneous earnings and dividend announcements in order to determine … interaction effect.The abnormal return corresponding to any earnings or dividend announcement depends upon the value of the other … more credence to unanticipated dividend increases or decreases when earnings are also above or below expectations, and vice …

This paper examines the empirical relation between stock returns and dividend yields. Several equilibrium pricing …