Four Centuries of Return Predictability
Author | : Benjamin Golez |
Publisher | : |
Total Pages | : 33 |
Release | : 2014 |
ISBN-10 | : OCLC:902807909 |
ISBN-13 | : |
Rating | : 4/5 (09 Downloads) |
Download or read book Four Centuries of Return Predictability written by Benjamin Golez and published by . This book was released on 2014 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze four centuries of stock prices and dividends in the Dutch, English, and U.S. market. With the exception of the post-1945 period, the dividend-to-price ratio is stationary and predicts returns throughout all four centuries. "Excess volatility" is thus a pervasive feature of financial markets. The dividend-to-price ratio also predicts dividend growth rates in all but the most recent period. Cash-flows were therefore much more important for price movements before 1945, and the dominance of discount rate news is a relatively recent phenomenon. This is consistent with the increased duration of the stock market in the recent period.