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 …

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 …

stock price reaction to news, and hence lowering the stock return volatility. Thus, in addition to uncertainty about … fundamentals, uncertainty about CEO quality is also a source of stock return volatility, which decreases over a CEO's tenure as the …'s prospects. Overall, uncertainty about management quality appears to be an important source of stock return volatility …

volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …

fundamental values calculated by using a long moving average of past dividend growth to forecast future growth rates. Such a … unknown and possibly-changing long-run dividend growth rates. The parameters of the stochastic process followed by dividends … less information about the dividend process. In such a context, it is difficult to see how investors can be faulted for …

This paper addresses the puzzle of regime-dependent volatility in foreign exchange. We extend the literature in two … induce volatility under flexible rates because they have portfolio-balance effects on price, whereas under fixed rates the …