Download or read book Price Dividend Ratio Factors written by Ravi Jagannathan and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We evaluate the empirical support for a broad class of long run risk models using information in factors extracted through principal component analysis of the covariance matrix of log price dividend ratios of twenty five equity portfolios formed on Size and Book-to-Market. We identify two price-dividend ratio factor proxies for economy wide long run risk, one tracking the volatility of the growth rate in economy wide aggregate consumption, and the other predicting the growth rates in the stock index portfolio dividends and aggregate consumption, consistent with the implications of these models. We show that that the long run risk factor driving expected consumption growth is not recoverable from the cross section of excess returns alone. The price dividend ratio factors perform better than the stock index price dividend ratio and the corporate yield spread, and has information in addition to what is in the slope of the term structure of interest rates, in forecasting the growth rate in real time consumption and stock index dividends. The covariance of excess returns with factor innovations explain the cross section of excess returns on size, book/market, earnings/price ratio, long term reversal, and short term reversal sorted portfolios in a manner robust to look-ahead and useless factor biases. Our findings suggest that the widely used Fama and French (1993) three factor model and the long run risk models studied in the literature are not necessarily inconsistent with each other. They may be representing the same underlying phenomenon, but emphasizing different aspects of reality.

Download or read book Price Dividend Ratio Factors written by Ravi Jagannathan and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Long run risks price dividend ratio factors written by Ravi Jagannathan and published by . This book was released on 2011 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that long run consumption risk models imply that the covariance matrix of the logarithm of price to dividend (P/D) ratios of stocks has a strict factor structure. Factor analysis of the P/D ratios of 25 portfolios formed by sorting stocks based on their size and book to market ratio during the 1943 to 2008 reveals two significant factors. Consistent with theory, these factors predict growth in US aggregate consumption & dividends and consumption growth volatility, and explain the cross section of average excess returns on portfolios based on size, book/market, long term reversal, short term reversal, and earnings to price ratios.

Download or read book Long Run Risk Price dividend Ratio Factors written by Ravi Jagannathan and published by . This book was released on 2011 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Long Run Risks Price Dividend Ratio Factors written by and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Study Of Factors Affecting Dividend Yield And Dividend Payout Ratio written by Rabia Qamar and published by LAP Lambert Academic Publishing. This book was released on 2013 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is regarding factors like profitability, market to book value, financial leverage, lagged value of dividend, stock price and size of firm which has great effect on dividend yield and dividend payout ratio.Dividend is very important activity of an organisation.Dividend value attracts the investor or shareholder towards an organisation, without shareholder investment organisation has no fu

Download or read book The Dividend price Ratio and Expections of Future Dividends and Discount Factors written by John Y. Campbell and published by . This book was released on 1987 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Long Run Factors and Fluctuations in Dividend Price written by Carlo A. Favero and published by . This book was released on 2019 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: The dynamic dividend growth model linking the log dividend yield to future expected dividend growth and stock market returns has been extensively used in the literature for forecasting stock returns. The empirical evidence on the performance of the model is mixed as its strength varies with the sample choice. This model is derived on the assumption of stationary log dividend-price ratio. The empirical validity of such hypothesis has been challenged in the recent literature (Lettauamp;Van Nieuwerburgh, 2008) with strong evidence on a time varying mean, due to breaks, in this financial ratio. In this paper, we show that the slowly evolving mean toward which the dividend price ratio is reverting is driven by a demographic factor and a technological trend. We also show that an empirical model using information in long-run factors overperforms virtually all alternative models proposed in the literature within the framework of the dynamic dividend growth model. Finally, we exploit the exogeneity and predictability of the demographic factor to simulate the equity risk premium up to 2050.

Download or read book Effects of Bank Capital on Lending written by Joseph M. Berrospide and published by DIANE Publishing. This book was released on 2011-04 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: The effect of bank capital on lending is a critical determinant of the linkage between financial conditions and real activity, and has received especial attention in the recent financial crisis. The authors use panel-regression techniques to study the lending of large bank holding companies (BHCs) and find small effects of capital on lending. They then consider the effect of capital ratios on lending using a variant of Lown and Morgan's VAR model, and again find modest effects of bank capital ratio changes on lending. The authors¿ estimated models are then used to understand recent developments in bank lending and, in particular, to consider the role of TARP-related capital injections in affecting these developments. Illus. A print on demand pub.

Download or read book Stock Market Equilibrium and the Dividend Yield written by Charles Frederick Kramer and published by International Monetary Fund. This book was released on 1996-08 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Can fundamentals account for the recent performance of the U.S. stock market? The price/earnings ratio is out of line with historical averages, and the dividend/price ratio has recently reached a historic low. These developments and record levels of inflows into mutual funds have led some to conclude that stock prices are above their fundamental levels. This paper assesses the recent rise in the stock market using a model for the equilibrium dividend/price ratio. While economic variables can account for most of the recent fall in the dividend/price ratio, mutual-fund inflows still have some marginal explanatory power.

Download or read book Equity Valuation Risk and Investment written by Peter C. Stimes and published by John Wiley & Sons. This book was released on 2011-07-22 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: Author Peter Stimes’s analysis of the investment process has long been inspired by some of the best minds in the world of finance, yet some of the ways in which he approaches this discipline are truly unique. In Equity Valuation, Risk, and Investment, Stimes shares his extensive expertise with you and reveals how practitioners can integrate and apply both the theory and quantitative analysis found in finance to the day-to-day decisions they must make with regard to important investment issues.

Download or read book THE DIVIDEND PRICE RATIO AND EXPECTATIONS OF FUTURE DIVIDENS AND DISCOUNT FACTORS written by John Y. Campbell and published by . This book was released on 1986 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book What Determines the Aggregate Dividend Price Ratio Earnings Versus Dividends written by Gil Sadka and published by . This book was released on 2011 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: In an efficient market, prices should vary only if investors change their expectations about cash flows, discount factors, or both. Prior research showed that dividend yield varies mostly due to variation in expected returns, and contains little information about cash flow. This literature concentrates on dividend growth variation as cash flow information. However, according to Miller and Modigliani (1961) with no taxes, given earnings, dividends are strictly a financing decision and should not affect prices. Consistent with the dividend-policy irrelevance hypothesis, this paper shows that variation in expected profitability growth explains as much as 70% of the variation in the dividend yield. Thus, the dividend yield contains information about cash flows in terms of earnings, not dividends. In addition, this paper finds evidence consistent with a permanent shift in the dividend yield in the 90s. Controlling for this permanent shift, the results indicate that the dividend yield has not lost its ability to predict returns.

Download or read book Explaining the Variance of Price dividend Ratios written by John Howland Cochrane and published by . This book was released on 1990 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An International Analysis of Factors Affecting Ex dividend Day Stock Prices written by J. Thomas Connelly and published by . This book was released on 2007 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate stock price changes on the ex-dividend day in 37 countries. We hypothesize that, in addition to taxes, other market frictions should also affect ex-dividend day stock prices in world markets. Empirical results show that mean price drop ratios deviate significantly from their predicted values based on differential tax rates between dividends and capital gains, and that proxies for agency conflicts and information asymmetry also help explain these cross-country deviations. After controlling for these factors, the weighted average of investors' tax rate is reflected in the ex-dividend day price movements. The results are consistent with the idea that agency conflicts, information asymmetry and differential taxation of dividends and capital gains are all important factors affecting ex-dividend day stock prices in world markets.

Download or read book Explaining the Variance of Price Dividend Ratios written by John H. Cochrane and published by . This book was released on 2010 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a bound on the variance of the price-dividend ratio and a decomposition of the variance of the price-dividend ratio into components that reflect variation in expected future discount rates and variation in expected future dividend growth. Unobserved discount rates needed to make the variance bound and variance decomposition hold are characterized, and the variance bound and variance decomposition are tested for several discount rate models, including the consumption based model, and models based on interest rates plus a constant risk premium.

Download or read book The Ultimate Dividend Playbook written by Morningstar, Inc. and published by John Wiley & Sons. This book was released on 2011-01-19 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many people believe that the key to success in the stock market is buying low and selling high. But how many investors have the time, talent, and luck to earn consistent returns this way? In The Ultimate Dividend Playbook: Income, Insight, and Independence for Today’s Investor, Josh Peters, editor of the monthly Morningstar DividendInvestor newsletter, shows you why you don’t have to try to beat the market and how you can use dividends to capture the income and growth you seek.