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 …

Even in large equity markets, the dividend-price ratio is significantly related with the growth of future dividends. In … with within-year seasonality. We reduce the effect of price volatility on the dividend-price ratio by applying a simple … smoothing technique, and we identify the component of the smoothed dividend-price ratio that offers predictive power. An …

the sum of the dividend yield on stocks plus some weighted average of expected future growth rates in dividends. We … construct a measure of stock yield as a model-imposed affine combination of dividend yield and an expected dividend growth proxy …-of-sample R-squared that is consistently above 2% at monthly frequency over our sample period. When both dividend yield and …

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 …

The ratio of long- to short-term dividend prices, “price ratio” (pr), predicts annual market return with an out …-of-sample R2 of 19%, subsuming the predictive power of price-dividend ratio (pd). After controlling for pr, pd predicts dividend … our findings is the (lack of) persistence of expected dividend growth. We find the expected return is countercyclical and …