Journal of Finance Vol. 48 No. 2 1993
Testing the Predictive Power of Dividend Yields
Abstract
This paper reexamines the ability of dividend yields to predict long‐horizon stock returns. We use the bootstrap methodology, as well as simulations, to examine the distribution of test statistics under the null hypothesis of no forecasting ability. These experiments are constructed so as to maintain the dynamics of regressions with lagged dependent variables over long horizons. We find that the empirically observed statistics are well within the 95% bounds of their simulated distributions. Overall there is no strong statistical evidence indicating that dividend yields can be used to forecast stock returns.
- DOI
- 10.1111/j.1540-6261.1993.tb04732.x
- Volume
- 48
- Issue
- 2
- Pages
- 663-679
- Language
- en
- Sources
- openalex crossref