We develop a nonlinear state-space model that captures the joint dynamics of consumption, dividend growth, and asset … returns. Our model consists of an economy containing a common predictable component for consumption and dividend growth and …

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 …

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 … substantial variation over time, particularly for short maturities. In addition to predicting dividend growth, equity yields help …

distribution. We also find that households' consumption is significantly more responsive to dividend payouts across all parts of …

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