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
AuthorsZhu, 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.

KeywordsDividend growth; Equity premium; Predictability
Year01 Jan 2018
JournalInternational Review of Economics and Finance
Journal citation56, pp. 125-137
PublisherElsevier Inc.
ISSN1059-0560
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 accessPublished as non-open access
Research or scholarlyResearch
Page range125-137
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All rights reserved
File Access Level
Controlled
Output statusPublished
Publication dates
Print26 May 2018
Publication process dates
Accepted17 Oct 2017
Deposited17 Jan 2023
Additional information

© 2017 Elsevier Inc. All rights reserved.

Place of publicationUnited States
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