Changes in the Composition of Publicly Traded Firms: Implications for the Dividend-Price Ratio and Return Predictability

• 成果类型: Article
• 署名作者: Jank, Stephan
• 署名单位: Frankfurt School Finance & Management; University of Cologne
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2013.1883
• 发表日期: 2015
• 页码: 1362-1377
• 关键词: Return predictability; dividend-price ratio; sample selection

摘要

This paper documents how the changing composition of U.S. publicly traded firms has prompted a decline in the long-run mean of the aggregate dividend-price ratio, most notably since the 1970s. Adjusting the dividend-price ratio for such changes resolves several issues with respect to the predictability of stock market returns: the adjusted dividend-price ratio is less persistent, in-sample evidence for predictability is more pronounced, there is greater parameter stability in the predictive regression (particularly during the 1990s), and there is evidence of out-of-sample predictability. Data, as supplemental material, are available at http://dx.doi.org/10.1287/mnsc.2013.1883.