Dividend Dynamics, Learning, and Expected Stock Index Returns

• 成果类型: Article
• 署名作者: Jagannathan, Ravi; Liu, Binying
• 署名单位: Northwestern University; National Bureau of Economic Research; Hong Kong University of Science & Technology
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12731
• 发表日期: 2019
• 页码: 401-448
• 关键词: long-run; RISK; consumption; earnings; price; predictability; expectations; volatility; beliefs

摘要

We present a latent variable model of dividends that predicts, out-of-sample, 39.5% to 41.3% of the variation in annual dividend growth rates between 1975 and 2016. Further, when learning about dividend dynamics is incorporated into a long-run risks model, the model predicts, out-of-sample, 25.3% to 27.1% of the variation in annual stock index returns over the same time horizon, with learning contributing approximately half of the predictability in returns. These findings support the view that investors' aversion to long-run risks and their learning about these risks are important in determining stock index prices and expected returns.