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 …

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

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 …

to dividend yields as predictors of stock returns. Monte Carlo analysis indicates that the Hansen and Hodrick (1980 …

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

This paper presents a bound on the variance of the price-dividend ratio and a decomposition of the variance of the … price-dividend ratio into components that reflect variation in expected future discount rates and variation in expected … future dividend growth. Unobserved discount rates needed to make the variance bound and variance decomposition hold are …

dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational … mispricing. Extending the work on asset allocation and dividend yield by Kandel and Stambaugh (1996) to accommodate variation in …

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 …