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 …

We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the …

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 …

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 …

This paper examines the potential influence of changing volatility in stock market prices on the level of stock market … prices. It demonstrates that volatility is only weakly serially correlated, implying that shocks to volatility do not persist …. These shocks can therefore have only a small impact on stockmarket prices, since changes in volatility affect expected …

the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied … 2008. This episode was associated with historically high levels of stock market volatility, particularly among financial … sector stocks, but the market did not expect volatility to remain high for long and it did not. This is in sharp contrast to …

that, after monetary policy announcements, the conditional volatility rises more for firms with stickier prices than for …

dividend strips of the corresponding local aggregate stock market index. I find that these bond portfolios have performed as …) levels of volatility. These results provide a novel perspective on both the equity risk premium and excess volatility puzzles …

mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … Bansal, Kiku, and Yaron (BKY, 2007a). BY's calibration counterfactually implies that long-run consumption and dividend growth … increasing the persistence of volatility fluctuations and their impact on stock prices. This calibration fits the predictive …

findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …-section of aggregate volatility. The results are robust to controlling for a number of alternative factors put forth by the …