STOCK RETURN VARIATION AND EXPECTED DIVIDENDS - A TIME-SERIES AND CROSS-SECTIONAL ANALYSIS

• 成果类型: Article
• 署名作者: KOTHARI, SP; SHANKEN, J
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(92)90003-G
• 发表日期: 1992
• 页码: 177-210

摘要

This paper examines the extent to which aggregate stock return variation is explained by variables chosen to reflect revisions in expectations of future dividends. In effect, we decompose realized dividend growth into expected and unexpected components using information in aggregate investment, dividend yield, and future returns. A parsimonious specification accounts for over 70% of annual return variation. We also conduct a cross-sectional experiment using portfolios formed on the basis of annual return performance. This analysis shows that nearly 90% of the portfolio return variation is explained by dividend and expected return variables.