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Dividend Yields, Dividend Growth, and Return Predictability in the Cross-Section of Stocks

Maio, Paulo F. - 2015

There is a generalized conviction that variation in dividend yields is exclusively related to expected returns and not to expected dividend growth - e.g. Cochrane's presidential address (Cochrane (2011)). We show that this pattern, although valid for the aggregate stock market, is not true for...

Persistent link: https://www.econbiz.de/10013036406

Forecasting Stock Returns : Does Switching Between Models Help?

McMillan, David G. - 2009

Research examining the usefulness of non-linear models for stock market returns has almost reached an impasse. While there is general recognition of the superior ability of non-linear models to describe the data, there is less certainty about their ability to forecast the data. As such simple...

Persistent link: https://www.econbiz.de/10013158958

The New Keynesian Phillips Curve and the role of expectations : evidence from the Ifo world economic survey

Henzel, Steffen; Wollmershäuser, Timo - 2006

, we follow Roberts (1997) and Adam and Padula (2003) and use direct measures of inflation expectations. The data source is … the Ifo World Economic Survey, which quarterly polls economic experts about their expected future development of inflation … turns out to more relevant for most countries in our sample. (ii) The use of survey data for inflation expectations yields a …

Persistent link: https://www.econbiz.de/10010261432

Trend-cycle decomposition of output and euro area inflation forecasts : a real-time approach based on model combination

Guérin, Pierre; Maurin, Laurent; Mohr, Matthias - In: Macroeconomic dynamics 19 (2015) 2, pp. 363-393

Persistent link: https://www.econbiz.de/10011308645

Incorporating anchored inflation expectations in the Phillips curve and in the derivation of OECD measures of equilibrium unemployment

Rusticelli, Elena; Turner, David; Cavalleri, Maria Chiara - 2015

Inflation has become much less sensitive to movements in unemployment in recent decades. A common explanation for this … change is that inflation expectations have become better anchored as a consequence of credible inflation targeting by central … traditional ‘backward-looking’ Phillips curve, where current inflation is partly explained by an autoregressive distributed lag …

Persistent link: https://www.econbiz.de/10011399530