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 …

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 8.9% for returns and 13.9% to 31.6% for dividend …

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 …

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 …

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 …

stock market returns. We instrument the actual capital gains and dividend payments with past portfolio weights. Unrealized …% for the top 30% of the wealth distribution. Households’ consumption is significantly more responsive to dividend payouts …

dividend growth rates between 1975 and 2016. Further, when learning about dividend dynamics is incorporated into a long …

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