We re-examine dividend growth and return predictability evidence using 165 years of data from the Brussels Stock … Exchange. The conventional wisdom holds that time-varying dividend yield is predominately explained by changes in expected … returns and that expected dividend growth is only weakly forecastable. However, we find robust dividend growth predictability …

We re-visit a puzzling result that in U.S. post-WW II data the dividend price ratio can predict aggregate returns but … not dividend growth. We find that predictive regressions are sensitive to the method used to aggregate firm-level data …. Using value weighted firm-level data we find strong evidence for dividend growth predictability in the post-WW II period. We …

Using a state-space model, this paper examines time-variation in the predictive regressions for stock returns, dividend … (negative growth, higher volatility and positive growth/return covariance). In contrast, dividend growth and consumption growth … predictability, which arises largely through the risk channel and dividend and consumption growth predictability, which arise through …

Motivated by the Campbell-Shiller present-value identity, we propose a new method of forecasting dividend growth that … forecast methods generate robust out-of-sample predictability of annual dividend growth over the entire post-war period as well … as most sub-periods with out-of-sample R2 up to 18.6%. The dividend-growth forecasts coupled with the dividend …

This paper documents that the increase in public debt can lead to higher dividend payout to shareholders, which … higher public debt-to-GDP ratio can predict both higher dividend growth and higher stock returns, and the predicted changes … common component among stock returns and dividend growth. We argue that i) public debt can drive the co-movement among …