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 …

unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend … ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are …

We construct a price, dividend, and earnings series for the Industrials sector, the Utilities sector, and the Railroads …

values of returns, dividend growth, the dividend-price ratio, and all Campbell-Shiller-style regression results involving …

We examine the hypothesis that dividend taxes are capitalized into share prices by focusing on investors' implicit …-in equity is distributable as a tax-free return of capital. Consistent with dividend tax capitalization, firm-level results for … addition, differences in dividend tax rates across U.S. tax regimes are associated with predictable differences in the …

between the log dividend-price ratio and mathematical expectations of future log real dividend changes and future real … dividend growth, measured real discount rates and unexplained factors in determining the dividend-price ratio …

Numerous empirical studies have attempted to measure the effect of changes in dividend policy on corporate equity … values. One of the most popular study methodologies has been an examination of share price changes around ex-dividend days …. Comparing the movement in a stock's price with its nominal dividend payment leads to estimates of the stock market's relative …