Expected returns and expected dividend growth

• 成果类型: Article
• 署名作者: Lettau, M; Ludvigson, SC
• 署名单位: New York University; New York University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.05.008
• 发表日期: 2005
• 页码: 583-626
• 关键词: risk premia; Dividend growth; cash-flow predictability; Return predictability

摘要

We investigate a consumption-based present-value relation that is a function of future dividend growth and find that changing forecasts of dividend growth are an important feature of the post-war U.S. stock market, despite the failure of the dividend-price ratio to uncover such variation. In addition, dividend forecasts are found to covary with changing forecasts of excess stock returns over business cycle frequencies. This covariation is important because positively correlated fluctuations in expected dividend growth and expected returns have offsetting effects on the log dividend-price ratio. The market risk premium and expected dividend growth thus vary considerably more than is apparent using the log divided-price ratio alone as a predictive variable. (c) 2005 Elsevier B.V. All rights reserved.