On the reversal of return and dividend growth predictability: A tale of two periods

• 成果类型: Article
• 署名作者: Chen, Long
• 署名单位: Washington University (WUSTL)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.04.004
• 发表日期: 2009
• 页码: 128-151
• 关键词: Dividend price ratio; Equity return; Dividend growth; predictability; reinvestment

摘要

A disconcerting, albeit generally accepted, finding is that aggregate stock returns are predictable by dividend yield but dividend growth is unpredictable. I show that part of this lack of dividend growth predictability stems from how dividend growth is constructed. I then show a dramatic reversal of predictability in the 134 years during 1872-2005: stock returns are largely unpredictable in the first seven decades, but become predictable in the postwar period; dividend growth is strongly predictable in the prewar years but this predictability disappears in the postwar years. New evidence on the predictability of long-run returns and dividend growth is also shown. (C) 2009 Elsevier B.V. All rights reserved.