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 …

and its investment decisions leads to a systematic premium in the firm's share price relative to expected dividends. Noisy … firm shifts its dividend risk to the upside, which amplifies the overvaluation and explains the premium. Second, we argue … market through a higher share price, but is inefficient from the perspective of dividend value …

We investigate a consumption-based present value relation that is a function of future dividend growth. Using data on … aggregate consumption and measures of the dividend payments from aggregate wealth, we show that changing forecasts of dividend … growth make an important contribution to fluctuations in the U.S. stock market, despite the failure of the dividend …

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 …

We study a new data set of prices of traded dividends with maturities up to 10 years across three world regions: the US … 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 …

theory of dividends, we also find that the excess return for dividend increase announcements went down from 2002 to 2004 …This paper investigates the effects of capital gains and dividend taxes on excess returns around announcements of … dividend increases and ex-dividend days for U.S. corporations. Consistent with standard no-arbitrage conditions, we find that …

the most noteworthy may have been the reduction in dividend tax rates. The political debate over the dividend tax … concerning the probability of significant dividend tax reduction fluctuated significantly during 2003. In this paper, we use this … fact to estimate the effects of dividend tax policy on firm value. We find that firms with higher dividend yields benefited …

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 … across all parts of the wealth distribution. Our findings are consistent with households treating capital gains and dividends …