Journal of Financial Economics Vol. 92 No. 1 2009
On the reversal of return and dividend growth predictability: A tale of two periods
Abstract
A disconcerting, albeit generally accepted, finding is that aggregate stock returns are predictable by dividend yield but dividend growth is unpredictable. I show that part of this lack of dividend growth predictability stems from how dividend growth is constructed. I then show a dramatic reversal of predictability in the 134 years during 1872–2005: stock returns are largely unpredictable in the first seven decades, but become predictable in the postwar period; dividend growth is strongly predictable in the prewar years but this predictability disappears in the postwar years. New evidence on the predictability of long-run returns and dividend growth is also shown.
- DOI
- 10.1016/j.jfineco.2008.04.004
- Volume
- 92
- Issue
- 1
- Pages
- 128-151
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref