کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10476065 | 929516 | 2005 | 44 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Expected returns and expected dividend growth
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
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چکیده انگلیسی
We investigate a consumption-based present-value relation that is a function of future dividend growth and find that changing forecasts of dividend growth are an important feature of the post-war U.S. stock market, despite the failure of the dividend-price ratio to uncover such variation. In addition, dividend forecasts are found to covary with changing forecasts of excess stock returns over business cycle frequencies. This covariation is important because positively correlated fluctuations in expected dividend growth and expected returns have offsetting effects on the log dividend-price ratio. The market risk premium and expected dividend growth thus vary considerably more than is apparent using the log divided-price ratio alone as a predictive variable.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 76, Issue 3, June 2005, Pages 583-626
Journal: Journal of Financial Economics - Volume 76, Issue 3, June 2005, Pages 583-626
نویسندگان
Martin Lettau, Sydney C. Ludvigson,