Even in large equity markets, the dividend-price ratio is significantly related with the growth of future dividends. In … order to uncover this relationship, we use monthly dividends and a mixed data sampling technique which allows us to cope … with within-year seasonality. We reduce the effect of price volatility on the dividend-price ratio by applying a simple …

Campbell and Shiller’s “accounting identity” implies that the log dividend-price ratio (LDPR) predicts either returns … or dividend growths, but neither is significantly predictable, a well-known puzzle. Existence of the long-term mean LDPR … therefore the long-term mean does not exist. However, the identity works well in our sample. The dividend growths (but not …

This paper explores the implications of a dividend yield model for predicting aggregate Japanese stock returns using … dividend growth forecasts and long-horizon return forecasts implied by one-year regressions to provide significant evidence for … the role of dividend yield in predicting returns. However, we find that direct long-horizon regressions are not a powerful …

-run mean of the aggregate dividend-price ratio, most notably since the 1970s. Adjusting the dividend–price ratio for such … changes resolves several issues with respect to the predictability of stock market returns: The adjusted dividend-price ratio …

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 employ the forward-looking implied dividend information contained in option prices to predict dividend cuts and … omissions during the recent financial crisis. The large number of dividend cuts and omissions during the 2008-09 financial … crisis period provides the opportunity to study the predictability of dividend cuts in a controlled environment. Implied …

This paper considers whether the log dividend yield provides forecast power for stock returns. While this is an oft …-year rolling window we compare forecasts from the dividend yield model to those from the historical mean model across forecast … magnitude, sign and investment metrics. Results show that in each case the dividend yield model provides superior forecasts …