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 …

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 …

context. The VAR system comprises asset returns and the dividend-price ratio as proposed in Cochrane (2008), and allows …

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 …

predict stock returns. I construct a new economy-wide dividend price ratio that takes into account dividends and market … in-sample and out-of-sample annual adjusted R2 of 15.35% and 16.28%, compared to the standard dividend price ratio values … that the economy-wide dividend price ratio subsumes the standard dividend price ratio …

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 …