The dog that did not bark: A defense of return predictability

• 成果类型: Article
• 署名作者: Cochrane, John H.
• 署名单位: University of Chicago; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhm046
• 发表日期: 2008
• 页码: 1533
• 关键词: STOCK RETURNS; PREDICTING RETURNS; dividend yields; tests; expectations; variance; too

摘要

If returns are not predictable, dividend growth must be predictable, to generate the observed variation in divided yields. I find that the absence of dividend growth predictability gives stronger evidence than does the presence of return predictability. Long-horizon return forecasts give the same strong evidence. These tests exploit the negative correlation of return forecasts with dividend-yield autocorrelation across samples, together with sensible upper bounds on dividend-yield autocorrelation, to deliver more powerful statistics. I reconcile my findings with the literature that finds poor power in long-horizon return forecasts, and with the literature that notes the poor out-of-sample R-2 of return- forecasting regressions.