percent dividends become procyclical, the price-dividend ratio countercyclical, and the mean of the equity risk premia reduces …

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 …

This paper considers whether the log dividend yield provides forecast power for stock returns. While this is an oft …-year rolling window we compare forecasts from the dividend yield model to those from the historical mean model across forecast … magnitude, sign and investment metrics. Results show that in each case the dividend yield model provides superior forecasts …