Campbell, John Y.; Vuolteenaho, Tuomo - National Bureau of Economic Research (NBER) - 2004
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 deviating from the rational forecast. Modigliani and...