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The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
Open accessAbstract
A linearization of a rational expectations present value model for corporate stock prices produces a simple relation between the log dividend-price ratio and mathematical expectations of future log real dividend changes and future real discount rates. This relation can be tested using vector autoregressive methods. Three versions of the linearized model, differing in the measure of discount rates, are tested for U. S. time series 1871-1986: versions using real interest rate data, aggregate real consumption data, and return variance data. The results yield a metric to judge the relative importance of real dividend growth, measured real discount rates and unexplained factors in determining the dividend-price ratio.
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Citations
Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
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“…and the view that valuation ratios are driven by temporary changes in discount rates, in which case the implied return movements would be larger [Campbell and Shiller (1988a)].7 Table 2 reports regression forecasts using both the unadjusted valuation ratios from Table 1, and two variants of…”
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Metadata
- Authors
- Campbell, J. Y., & Shiller, R. J.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1988-07
- Volume
- 1
- Issue
- 3
- Pages
- 195-228
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2123518587
- Cited by
- 3,774
- References
- 1
- FWCI
- 38.10
- Type
- journal article
- Language
- en
- Open access
- green
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- Campbell, J. Y., & Shiller, R. J. (1988). The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors. Review of Financial Studies. https://doi.org/10.1093/rfs/1.3.195
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