We develop a nonlinear state-space model that captures the joint dynamics of consumption, dividend growth, and asset … consumption and dividend growth and multiple stochastic volatility processes. The estimation is based on annual consumption data …

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 …

We develop a nonlinear state-space model that captures the joint dynamics of consumption, dividend growth, and asset … returns. Our model consists of an economy containing a common predictable component for consumption and dividend growth and …

We develop a nonlinear state-space model that captures the joint dynamics of consumption, dividend growth, and asset … returns. Our model consists of an economy containing a common predictable component for consumption and dividend growth and …