empirical practice of omitting dividend growth from the system amounts to imposing the extra restriction that dividend growth is … not persistent. We highlight that persistence in dividend growth induces a previously overlooked channel for return … predictability, which we label ``dividend momentum.'' Compared to estimation based on OLS, our restricted informative prior leads to …

empirical practice of omitting dividend growth from the system amounts to imposing the extra restriction that dividend growth is … not persistent. We highlight that persistence in dividend growth induces a previously overlooked channel for return … predictability, which we label "dividend momentum." Compared to estimation based on ordinary least squares, our restricted …

Aggregate dividend growth is widely thought to be unpredictable by the dividend price ratio. I show that this lack of … regression of dividend growth on the dividend price ratio goes from being negative (-1.18%) to being positive (17.54%) and ….76%) and returns (1.86% to 4.40%). Out-of-sample R2 for dividend growth and returns are large and statistically significant. I …

empirical practice of omitting dividend growth from the system amounts to imposing the extra restriction that dividend growth is … not persistent. We highlight that persistence in dividend growth induces a previously overlooked channel for return … predictability, which we label "dividend momentum." Compared to estimation based on ordinary least squares, our restricted …

/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast … business cycle, with expected returns increasing in recessions. We also find that, except for the period after 1945, dividend … yields predict dividend growth rates …

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 …

between the price dividend ratio, expected stock returns and expected dividend growth in the US since 1880. We find a … significant increase in the long-run equilibrium value of the price dividend ratio over time, associated with a fall in the long …

between the price dividend ratio, expected stock returns and expected dividend growth in the US since 1880. We find a … significant increase in the long-run equilibrium value of the price dividend ratio over time, associated with a fall in the …

We show that the dividend growth rate implied by the options market is informative about (i) the expected dividend … growth rate and (ii) the expected dividend risk premium. We model the expected dividend risk premium and explore its … implications for the predictability of dividend growth and stock market returns. Correcting for the expected dividend risk premium …