Predictive Regressions: A Present-Value Approach

• 成果类型: Article
• 署名作者: van Binsbergen, Jules H.; Koijen, Ralph S. J.
• 署名单位: Stanford University; University of Chicago
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2010.01575.x
• 发表日期: 2010
• 页码: 1439-1471
• 关键词: long-run; return

摘要

We propose a latent variables approach within a present-value model to estimate the expected returns and expected dividend growth rates of the aggregate stock market. This approach aggregates information contained in the history of price-dividend ratios and dividend growth rates to predict future returns and dividend growth rates. We find that returns and dividend growth rates are predictable with R-2 values ranging from 8.2% to 8.9% for returns and 13.9% to 31.6% for dividend growth rates. Both expected returns and expected dividend growth rates have a persistent component, but expected returns are more persistent than expected dividend growth rates.