We propose an explanation for the "disappearing dividend" phenomenon: the decline in the information content of dividend announcements. This reduces the propensity of firms to pay or increase dividends, since dividends are costly.(...)

We propose a direct and convenient reduced-bias estimator of predictive regression coefficients, assuming that the regressors are Gaussian first-order autoregressive with errors that are correlated with the error series of the dependent variable. For the single-regressormodel, Stambaugh (1999)...