Download or read book Stock Return Dividend Growth and Consumption Growth Predictability Across Markets and Time written by David G. McMillan and published by . This book was released on 2014 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper links variation in the predictive regressions for stock returns, dividend growth and consumption growth to economic and market factors. The nature of these links can reveal whether movement in asset prices occurs primarily through the discount rate (risk-free rate or risk premium) or cash flow (economic conditions) channel, while they also help explain the mixed results for predictability reported in the literature. Variation is examined through cross-sectional regressions across fifteen markets and over time using rolling regressions. The cross-sectional and time-varying parameters are regressed against output growth, interest rates and inflation as well as market variables using fixed effects panel as well as both OLS and logit approaches. Panel and time-series predictive regressions based on two approaches that seek to identify periods of high expected returns (high risk premium) are also considered. The key implication for asset pricing is that although movement occurs through both channels, stock return predictability is more dominated by the discount rate channel and consumption growth predictability more so by the cash flow channel. Intuitively, such a difference may arise as investors and households rebalance their asset holdings and consumption at different speeds. There is also some evidence of money illusion through the inflation variable.

Download or read book Dividend Growth Predictability and Stock Price Movement written by Min Zhu and published by . This book was released on 2016 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies dividend growth predictability without restricting conditioning information set to dividend yield alone. We highlight that predictability crucially hinges on how dividend growth is constructed. Dividend growth without reinvestment is significantly predictable both in-sample and out-of-sample by a number of economic fundamentals. The results are robust across subsamples. When dividend growth predictability is properly taken account of, it leads to a different picture of variance decomposition of returns. Contrary to the prevailing views, the cash flow news is important in driving stock price movement in aggregate level after incorporating dividend growth predictability.

Download or read book Predicting Stock Returns written by David G McMillan and published by Springer. This book was released on 2017-11-30 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive analysis of asset price movement. It examines different aspects of stock return predictability, the interaction between stock return and dividend growth predictability, the relationship between stocks and bonds, and the resulting implications for asset price movement. By contributing to our understanding of the factors that cause price movement, this book will be of benefit to researchers, practitioners and policy makers alike.

Download or read book Four Centuries of Return Predictability written by Benjamin Golez and published by . This book was released on 2014 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze four centuries of stock prices and dividends in the Dutch, English, and U.S. market. With the exception of the post-1945 period, the dividend-to-price ratio is stationary and predicts returns throughout all four centuries. "Excess volatility" is thus a pervasive feature of financial markets. The dividend-to-price ratio also predicts dividend growth rates in all but the most recent period. Cash-flows were therefore much more important for price movements before 1945, and the dominance of discount rate news is a relatively recent phenomenon. This is consistent with the increased duration of the stock market in the recent period.

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 Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.

Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.

Download or read book Dividend Growth and Return Predictability written by Gertjan Verdickt and published by . This book was released on 2019 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: We re-examine dividend growth and return predictability evidence using 165 years of data from the Brussels Stock Exchange. The conventional wisdom holds that time-varying dividend yield is predominately explained by changes in expected returns and that expected dividend growth is only weakly forecastable. However, we find robust dividend growth predictability evidence in every time period. A lack of dividend smoothing is the most important reason for the disconnect with previous evidence. Furthermore, we find return predictability in the post-World War II period when we adjust the dividend yields for changing index composition, business cycle variation and structural breaks. This is explained by a simultaneous increase in equity duration, induced by an increasing importance of growth stocks.

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 Higgledy Piggledy Growth Again written by Anthony Clement Rayner and published by . This book was released on 1966 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Predictability of Stock Market Prices written by Clive William John Granger and published by . This book was released on 1970 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dividend Smoothing and Predictability written by Long Chen and published by . This book was released on 2011 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relative predictability of returns and dividends is a central issue since it forms the paradigm to interpret asset price variation. A little studied question is how dividend smoothing, as a choice of corporate policy, affects predictability. We show that, even if dividends are supposed to be predictable without smoothing, dividend smoothing can bury this predictability in a finite sample. We further show that aggregate dividends are dramatically more smoothed in the postwar period than before. Therefore, the lack of dividend growth predictability in the postwar period, as widely documented in the literature, does not necessarily mean that there is no cash flow news in stock price variations; rather, a more plausible interpretation is that dividends are smoothed. Using two alternative measures that are less subject to dividend smoothing -- net payout and earnings -- we reach the consistent conclusion that cash flow news plays a more important role than discount rate news in price variations in the postwar period. Our take-away messages are that (i) dividend smoothing can severely affect dividend predictability in a finite sample, (ii) there is significant cash flow news in stock price variations, and (iii) when smoothed, dividends do not represent well the outlook of future cash flows.

Download or read book Stock Return and Dividend Growth Predictability Across the Business Cycle written by Stig Vinther Møller and published by . This book was released on 2015 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops an extension of Cochrane's (2008) joint hypothesis framework by allowing the coefficients to depend on the state of the economy. For recessions the results are clear-cut. Dividend yields vary entirely due to return predictability. However, in expansions, the "dog that did not bark" effect is present with respect to both return and dividend growth predictability. Dividend yields vary much less during stable periods of economic booms and returns and dividend growth seem only weakly predictable.

Download or read book Are Dividends and Stock Returns Predictable New Evidence Using M A Cash Flows written by Riccardo Sabbatucci and published by . This book was released on 2015 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aggregate dividend growth is widely thought to be unpredictable by the dividend price ratio. I show that this lack of predictability is related to the measurement of dividends. If M&A cash flows are taken into account, the adjusted R2 from a regression of dividend growth on the dividend price ratio goes from being negative (-1.18%) to being positive (17.54%) and coefficients become highly statistically significant. Strong improvements are also found for consumption growth (2.10% to 11.76%) and returns (1.86% to 4.40%). Out-of-sample R2 for dividend growth and returns are large and statistically significant. I also show that dividend price variation is fundamentally linked to cash flows news and not only to discount rate news. Lastly, I find stronger predictability in industries with the largest M&A activity.

Download or read book On the Predictability of Stock Returns written by Jin Zhang and published by . This book was released on 2002 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dividend Yields Dividend Growth and Return Predictability in the Cross Section of Stocks written by Paulo F. Maio and published by . This book was released on 2015 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is a generalized conviction that variation in dividend yields is exclusively related to expected returns and not to expected dividend growth - e.g. Cochrane's presidential address (Cochrane (2011)). We show that this pattern, although valid for the aggregate stock market, is not true for portfolios of small and value stocks, where dividend yields are related mainly to future dividend changes. Thus, the variance decomposition associated with aggregate dividend yield has important heterogeneity in the cross-section of equities. Our results are robust to different forecasting horizons, econometric methodology used (long-horizon regressions or first-order VAR), and an alternative decomposition based on excess returns.

Download or read book On the Relation Between the Persistence and Predictability of Dividend Growth Rates written by Jan Schneider and published by . This book was released on 2013 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: All variations in price-dividend ratios result from either movements in expected returns or expected dividend growth rates. If growth rates contain a persistent component, even small changes in expected near-term dividends can cause large movements in prices. I derive closed-form solutions for the relation between the persistency of dividend growth rates and the ability of price-dividend ratios to forecast future dividends. For a constant risk premium, it is possible to match the low predictability of near-term dividends by choosing a sufficiently long half-life of news, however, this long half-life implies a counterfactual high degree of predictability for long-term dividend growth rates.