Risk, return, and dividends

• 成果类型: Article
• 署名作者: Ang, Andrew; Liu, Jun
• 署名单位: Columbia University; University of California System; University of California San Diego
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2007.01.001
• 发表日期: 2007
• 页码: 1-38
• 关键词: risk-return tradeoff; Risk premium; stochastic volatility; Return predictability

摘要

Using only the definition of returns, together with a transversality assumption, we demonstrate that given a dividend process, any one of three variables-expected return, return volatility, and the price-dividend ratio-completely determines the other two. By parameterizing only one of these processes, common empirical specifications place strong, and sometimes counter-factual, restrictions on the dynamics of the other variables. Our findings lend insight into the nature of the risk-return relation and the predictability of stock returns. (c) 2007 Elsevier B.V. All rights reserved.