Book-to-market, dividend yield, and expected market returns: A time-series analysis

• 成果类型: Article
• 署名作者: Kothari, SP; Shanken, J
• 署名单位: University of Rochester
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(97)00002-0
• 发表日期: 1997
• 页码: 169-203
• 关键词: BOOK-TO-MARKET; Dividend yield; Expected returns; bootstrap; Bayesian

摘要

We find reliable evidence that both book-to-market (B/M) and dividend yield track time-series variation in expected real stock returns over the period 1926-91 (in which B/M is stronger) and the subperiod 1941-91 (in which dividend yield is stronger). A Bayesian bootstrap procedure implies that an investor with prior belief 0.5 that expected returns on the equal-weighted index are never negative comes away from the full-period B/M evidence with posterior probability 0.08 for the hypothesis (0.14 with the impact of the 1933 outlier tempered). Although this raises doubts about market efficiency, the post-1940 evidence is consistent with expected returns always being positive.