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Dividend growth and equity premium predictability
Zhu, Min Chen, Rui Du, Ke Wang, You-Gan
Zhu, Min
Chen, Rui
Du, Ke
Wang, You-Gan
Author
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
Date
2018
Type
Journal article
Journal
Book
Volume
56
Issue
Page Range
125-137
Article Number
ACU Department
Institute for Learning Sciences and Teacher Education (ILSTE)
Faculty of Education and Arts
Faculty of Education and Arts
Relation URI
Event URL
Open Access Status
License
All rights reserved
File Access
Controlled
Notes
© 2017 Elsevier Inc. All rights reserved.