Stock return predictability: Is it there?

• 成果类型: Article
• 署名作者: Ang, Andrew; Bekaert, Geert
• 署名单位: Columbia University; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhl021
• 发表日期: 2007
• 页码: 651
• 关键词: DIVIDEND YIELDS; time-series; generalized-method; Expected returns; asset returns; unit-root; prices; models; regressions; consumption

摘要

We examine the predictive power of the di backslash vidend yields for forecasting excess returns, cash flows, and interest rates. Dividend yields predict excess returns only at short horizons together with the short rate and do not have any long-horizon predictive power. At short horizons, the short rate strongly negatively predicts returns. These results are robust in international data and are not due to lack of power. A present value model that matches the data shows that discount rate and short rate movements play a large role in explaining the variation in dividend yields. Finally, we find that earnings yields significantly predict future cash flows.