Dividend growth and equity premium predictability
Journal article
Zhu, Min, Chen, Rui, Du, Ke and Wang, You-Gan. (2018). Dividend growth and equity premium predictability. International Review of Economics and Finance. 56, pp. 125-137. https://doi.org/10.1016/j.iref.2017.10.020
Authors | Zhu, Min, Chen, Rui, Du, Ke and Wang, You-Gan |
---|---|
Abstract | This paper studies dividend growth predictability without restricting the conditioning information set to dividend yield alone. We highlight that predictability crucially hinges on how dividend growth is constructed. While there is little predictability in the market-reinvested dividend growth, the pure dividend growth is significantly predictable both in-sample and out-of-sample by a number of economic fundamentals. This strong pure dividend growth predictability leads to improved equity premium prediction under the present-value framework. |
Keywords | Dividend growth; Equity premium; Predictability |
Year | 01 Jan 2018 |
Journal | International Review of Economics and Finance |
Journal citation | 56, pp. 125-137 |
Publisher | Elsevier Inc. |
ISSN | 1059-0560 |
Digital Object Identifier (DOI) | https://doi.org/10.1016/j.iref.2017.10.020 |
Web address (URL) | https://www.sciencedirect.com/science/article/pii/S1059056017307694 |
Open access | Published as non-open access |
Research or scholarly | Research |
Page range | 125-137 |
Publisher's version | License All rights reserved File Access Level Controlled |
Output status | Published |
Publication dates | |
26 May 2018 | |
Publication process dates | |
Accepted | 17 Oct 2017 |
Deposited | 17 Jan 2023 |
Additional information | © 2017 Elsevier Inc. All rights reserved. |
Place of publication | United States |
Permalink -
https://acuresearchbank.acu.edu.au/item/8y940/dividend-growth-and-equity-premium-predictability
Restricted files
Publisher's version
(1 files)
65
total views0
total downloads0
views this month0
downloads this month