Piatti, Ilaria; Trojani, Fabio - 2012 - This version: October 2012
Conventional tests of present-value models over-reject the null of no predictability. In order to better account for …-dividend ratios and dividend growth. We find evidence of return predictability, but no apparent evidence of dividend growth … predictability in postwar US data, thus reconciling the diverging conclusions in the literature. Our findings are robust to the …