On the Reversal of Return and Dividend Growth Predictability
Author | : Long Chen |
Publisher | : |
Total Pages | : 53 |
Release | : 2008 |
ISBN-10 | : OCLC:1290311266 |
ISBN-13 | : |
Rating | : 4/5 (66 Downloads) |
Download or read book On the Reversal of Return and Dividend Growth Predictability written by Long Chen and published by . This book was released on 2008 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: A disconcerting, albeit generally accepted, finding is that aggregate stock return is predictable by dividend yield but dividend growth is unpredictable. I show that part of this lack of dividend growth predictability stems from how dividend growth is constructed. I then document a dramatic reversal of predictability in the 134 years during 1872-2005: stock return is largely unpredictable in the first seven decades, but becomes predictable in the postwar period; dividend growth is strongly predictable in the prewar years but this predictability disappears in the postwar years. New evidence on the predictability of long-run return and dividend growth is also documented.