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

Publication dates
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
Print	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

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