What explains stock market behavior in the early weeks of the coronavirus pandemic? Estimates from a dynamic asset …

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 …

We recover prices of dividend strips on the aggregate stock market using data from derivatives markets. The price of a … k-year dividend strip is the present value of the dividend paid in k years. The value of the stock market is the sum of … all dividend strip prices across maturities. We study the properties of strips and find that expected returns, Sharpe …

conditions under which the variation in a small asset's price-dividend ratio can be attributed almost entirely to variation in …

through principal component analysis of the covariance matrix of log price dividend ratios of twenty five equity portfolios … formed on Size and Book-to-Market. We identify two price-dividend ratio factor proxies for economy wide long run risk, one … returns alone. The price dividend ratio factors perform better than the stock index price dividend ratio and the corporate …

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 …