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On the Relation between the Persistence and Predictability of Dividend Growth Rates
Schneider, Jan - 2013
All variations in price-dividend ratios result from either movements in expected returns or expected dividend growth … movements in prices. I derive closed-form solutions for the relation between the persistency of dividend growth rates and the … ability of price-dividend ratios to forecast future dividends. For a constant risk premium, it is possible to match the low …
Persistent link: https://www.econbiz.de/10013088938
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Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes
Gollier, Christian - 2012
Because of the uncertainty about how to model the growth process of our economy, there is still much confusion about which discount rates should be used to evaluate actions having long-lasting impacts, as in the contexts of climate change, social security reforms or large public infrastructures...
Persistent link: https://www.econbiz.de/10009689360
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Evaluation of Long-Dated Investments Under Uncertain Growth Trend, Volatility and Catastrophes
Gollier, Christian - 2021
Because of the uncertainty about how to model the growth process of our economy, there is still much confusion about which discount rates should be used to evaluate actions having long-lasting impacts, as in the contexts of climate change, social security reforms or large public infrastructures...
Persistent link: https://www.econbiz.de/10013315817
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Government Debt, Dividend Growth, and Stock Returns
Sun, Yulong - 2020
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 …
Persistent link: https://www.econbiz.de/10014103307
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The inventory growth spread
Belo, Frederico; Lin, Xiaoji - 2012
Previous studies show that firms with low inventory growth outperform firms with high inventory growth in the cross-section of publicly traded firms. In addition, inventory investment is volatile and procyclical, and inventory-to-sales is persistent and countercyclical. We embed an inventory...
Persistent link: https://www.econbiz.de/10009697751
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No-Arbitrage Near-Cointegrated Var(p) Term Structure Models, Term Premia and GDP Growth
Jardet, Caroline - 2011
The recent macro-finance yield curve literature does not agree neither about term premia empirical properties nor about the importance or even the direction of its relationship with future economic activity. This paper proposes a two-step approach to handle both problems. First, in a VAR...
Persistent link: https://www.econbiz.de/10013132933
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Using Interest Rates to Predict Economic Growth : Are Corporate Bonds Better?
McMillan, David G. - 2020
We consider whether government bonds, through the term structure, or corporate bonds, through the default yield, provide predictive power for output, consumption and investment growth. Such predictive power will allow policy-makers to use the information as a leading indicator for macroeconomic...
Persistent link: https://www.econbiz.de/10012833838
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Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals
Beber, Alessandro - 2014
We analyze the role of macroeconomic fundamentals for the term structure of sovereign bond yields. We take a structured economic news flow approach to obtain a continuously updated measure of fundamentals and focus on a sample with large variation in economic conditions, specifically the...
Persistent link: https://www.econbiz.de/10013063666
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The Macroeconomic Determinants of the US Term-Structure during the Great Moderation
Paccagnini, Alessia - 2014
The aim of this paper is to study how macroeconomic impulses can affect the term structure during the Great Moderation. As novelty in the research strategy, we create a term-structure using three latent factors of the yield curve. A Nelson-Siegel Model is implemented to estimate the latent...
Persistent link: https://www.econbiz.de/10014144946
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Bank dividends, real GDP growth and default risk
Kanas, Angelos - In: International journal of finance & economics : IJFE 19 (2014) 3, pp. 212-224
Persistent link: https://www.econbiz.de/10010471951