Four centuries of return predictability

• 成果类型: Article
• 署名作者: Golez, Benjamin; Koudijs, Peter
• 署名单位: University of Notre Dame; Stanford University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.12.007
• 发表日期: 2018
• 页码: 248-263
• 关键词: Dividend-to-price ratio; Return predictability; Dividend growth predictability

摘要

We combine annual stock market data for the most important equity markets of the last four centuries: the Netherlands and UK (1629-1812), UK (1813-1870), and US (1871-2015). We show that dividend yields are stationary and consistently forecast returns. The documented predictability holds for annual and multi-annual horizons and works both in- and out-of-sample, providing strong evidence that expected returns in stock markets are time varying. In part, this variation is related to the business cycle, with expected returns increasing in recessions. We also find that, except for the period after 1945, dividend yields predict dividend growth rates. (C) 2017 Elsevier B.V. All rights reserved.