Bilson, John F.O.; Kang, Sang Baum; Luo, Hong - In: Economics Letters 128 (2015) C, pp. 9-13
This paper proposes a new dividend-based S&P 500 Index return predictor, the implied dividend yield term structure (IDYTS). We show that the IDYTS is a “cleaner” predictor than its conventional counterpart, the dividend price ratio (DP), in that the expected return is a linear combination...
