Dividend Growth Predictability and the Price-Dividend Ratio

• 成果类型: Article
• 署名作者: Piatti, Ilaria; Trojani, Fabio
• 署名单位: University of Oxford; University of Geneva; University of Geneva
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2018.3155
• 发表日期: 2020
• 页码: 130-158
• 关键词: Predictability; Present-value model; State-space model; bootstrap; likelihood ratio test

摘要

Asymptotic tests over-reject the null of no predictability in present-value models. We develop a nonparametric testing approach in state-space models, implying reliable finite sample inference under weak assumptions on price-dividend ratio and dividend shocks. We find sharp evidence of return predictability in postwar U.S. data but less consistent evidence of dividend predictability, which is significant only using cash-flow proxies reflecting information from mergers and acquisitions. These findings reconcile the diverging conclusions of present-value models and common predictive regressions in a way that is robust to the choice of the predictive variables, the sample period, and alternative cash-flow proxies.