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 …

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 …

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

The aggregate dividend payout ratio forecasts aggregate excess returns on both stocks and corporate bonds in post …

. Financial constraint returns help explain returnsquot; following initial public offerings and dividend omissions. We find only …

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 …