We show that log-dividends (d) and log-prices (p) are cointegrated, but, instead of de facto assuming the stationarity … of the classical log dividend–price ratio, we allow the data to reveal the cointegration vector between d and p. We … define the modified dividend–price ratio (mdp), as the long run trend deviation between d and p. Using S&P 500 data for the …

This paper studies why investors buy dividend-paying assets and how they time their consumption accordingly. We combine … financial behavior. We find that private consumption is excessively sensitive to dividend income. Investors across wealth …, income, and age distributions increase spending precisely around days of dividend receipt. Importantly, the consumption …

\amp;P 100 index via Markov Chain Monte Carlo estimation. We find that the stochastic processes governing individual stocks are …