Download or read book Why Do Dividend Yields Forecast Stock Returns written by Allan G. Timmermann and published by . This book was released on 1993 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Why Do Dividend Yields Forecast Stock Returns written by Allan Timmermann and published by . This book was released on 1994 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Predicting Stock Returns written by David G. McMillan and published by . This book was released on 2015 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers whether the log dividend yield provides forecast power for stock returns. While this is an oft-researched topic there is no consensus answer and yet it remains crucial in our understanding of asset pricing. Using a five-year rolling window we compare forecasts from the dividend yield model to those from the historical mean model across forecast magnitude, sign and investment metrics. Results show that in each case the dividend yield model provides superior forecasts. While the difference in, for example, RMSE and the success ratio is small, results support improved market timing and a higher Sharpe ratio using the dividend yield model. In explaining these results, we note that recursive forecasts do not perform as well and thus it is the nature of time-variation within the forecast parameter that is important. We also argue that such time-variation is linked to economic performance. Overall, these results support stock returns forecasting but stresses the importance of time-variation in the forecast model to ensure forecast power.
Download or read book Growth Expectations Dividend Yields and Future Stock Returns written by Zhi Da and published by . This book was released on 2014 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: According to the dynamic version of the Gordon growth model, the long-run expected return on stocks, stock yield, is the sum of the dividend yield on stocks plus some weighted average of expected future growth rates in dividends. We construct a measure of stock yield based on sell-side analysts' near-term earnings forecasts that predicts US stock index returns well, with an out-of-sample R-squared that is consistently above 2% at monthly frequency over our sample period. Stock yield also predicts future stock index returns in the US and other G7 countries and returns of US stock portfolios formed by sorting stocks based on firm characteristics, at various horizons. The findings are consistent with a single dominant factor driving expected returns on stocks over different holding periods. That single factor extracted from the cross section of stock yields using the Kelly and Pruitt (2013) partial regressions method predicts stock index returns better. The performance of the Binsbergen and Koijen (2010) latent factor model for forecasting stock returns improves significantly when stock yield is included as an imperfect observation of expected return on stocks. Consistent with folk wisdom, stock returns are more predictable coming out of a recession. Our measure performs as well in predicting stock returns as the implied cost of capital, another common stock yield measure that uses additional information.
Download or read book The Magazine of Wall Street written by and published by . This book was released on 1909 with total page 596 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Relationship Between Dividend Yield and Stock Return written by Reza Tahmoores Pour and published by LAP Lambert Academic Publishing. This book was released on 2011-12 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relation between dividend yields and stock returns in different market conditions is still questionable and vague among financial scholars, managers, academicians, and shareholders. The significance of this book is to help investor's forecasting by giving them clarification information about the dividend yields and stock returns relationship based on the general market condition. This can help them in their decision-making about portfolio generating. Although many works have been done up to now, but more studies are needed to be conducted to ascertain this relation in various time horizons and markets. The main purpose of this book is to identify the moderation effect of market condition on the relationship between dividend yield and stock return in Malaysian stock market and checking the possibility of providing another evidence for proposition of time variation in the relation between dividend yields and stock return during bull and bear markets.
Download or read book Dividend Yields and Expected Stock Returns written by Robert J. Hodrick and published by . This book was released on 1991 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alternative ways of conducting inference and measurement for long-horizon forecasting are explored with an application to dividend yields as predictors of stock returns. Monte Carlo analysis indicates that the Hansen and Hodrick (1980) procedure is biased at long horizons, but the alternatives perform better. These include an estimator derived under the null hypothesis as in Richardson and Smith (1989), a reformulation of the regression as in Jegadeesh (1990), and a vector autoregression (VAR) as in Campbell and Shiller (1988), Kandel and Stambaugh (1988), and Campbell (1991). The statistical properties of long-horizon statistics generated from the VAR indicate interesting patterns in expected stock returns.
Download or read book Stock Market Equilibrium and the Dividend Yield written by Mr.Charles Frederick Kramer and published by International Monetary Fund. This book was released on 1996-08-01 with total page 24 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 Dividend Yields Predictability of Stock Returns written by Samer A. M. Al-Rjoub and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the cross-sectional pattern of stock returns for eight emerging markets using Vector Autoregressive Approach (VAR) to test whether dividend yields can predict stock returns through impulse response characteristics. Our results confirm that dividend yield shocks play an important role in driving fluctuation in stock returns and this relation is positive.
Download or read book Valuing Wall Street written by Andrew Smithers and published by McGraw Hill Professional. This book was released on 2002 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt: Valuing Wall Street is a book on investments.
Download or read book Dividend Yields and Stock Returns written by Michael L. Lemmon and published by . This book was released on 2008 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: The positive relation between dividend yields and stock returns in the US market is well documented in recent research. However, the cause(s) of the dividend yield effect is still unknown. On the one hand, the effect can be attributed to tax as predicted in the Brennan CAPM (Brennan (1970)). On the other hand, dividend yield can proxy for omitted risk factors or variables. We document a robust dividend yield effect in the Hong Kong market where neither dividend income nor capital gains are taxed. The effect is persistent in different sub-samples by time period or by market capitalization. The yield effect is economically significant. A one percent difference in dividend yields is associated with about a two percent difference in risk-adjusted returns. While not ruling out the tax explanation, our results show there are non-tax (unknown) factors that cause the dividend yield effect.
Download or read book The Effect of Dividend Yields on Stock Returns written by Sharon Wai Man Wong and published by . This book was released on 1997 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 374 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.
Download or read book Dividend Yields and Expected Stock Returns written by Robert J. Hodrick and published by . This book was released on 2007 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alternative ways of conducting inference and measurement for long-horizon forecasting are explored with an application to dividend yields as predictors of stock returns. Monte Carlo analysis indicates that the Hansen and Hodrick (1980) procedure is biased at long horizons, but the alternatives perform better. These include an estimator derived under the null hypothesis as in Richardson and Smith (1989), a reformulation of the regression as in Jegadeesh (1990), and a vector autoregression (VAR) as in Campbell and Shiller (1988), Kandel and Stambaugh (1988), and Campbell (1991). The statistical properties of long-horizon statistics generated from the VAR indicate interesting patterns in expected stock returns.
Download or read book Scientific Stock Speculation written by Charles Henry Dow and published by . This book was released on 1920 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Forecasting Value of Dividend Yields Within Industry Data written by Aman Bhangu and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The economic and statistical significance of using dividend yields to forecast future returns has been examined in numerous manners. This paper examines the topic through a time series analysis of dis-aggregated industry returns regressed onto aggregated equity-market dividend yields. In additiom, a trading model is employed to further examine if any statistical significance of the proposed relationships between dividend yields and future returns can be translated into economic significance. Economic significance is measured as both absolute dollar return, as well as return per unit risk over that of industry benchmarks.
Download or read book Dividend Yields are Equity Risk Premiums written by Michael S. Rozeff and published by . This book was released on 2005 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article presents evidence that dividend yields are directly related to and predict future stock returns: The higher the yield, the higher the stock return. The paper uses the constant dividend growth model and the subsidiary Golden Rule of Accumulation view that real long-term growth equals the real rate of interest in order to show that the dividend yield is directly related to the risk premium. A predictive test shows that dividend yields provide superior predictions of equity risk premiums in terms of lower bias, lower mean square error and lower mean absolute error as compared with the method of using historical realized returns.
