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Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement

Hodrick, Robert J.·1992·Review of Financial Studies
DOI 10.1093/rfs/5.3.351
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Abstract

Alternative ways of conducting inference and measurement for long-horizon forecasting are explored with an application to dividend yields as predictors of stock returns. Monte Carlo analysis indicates that the Hansen and Hodrick (1980) procedure is biased at long horizons, but the alternatives perform better. These include an estimator derived under the null hypothesis as in Richardson and Smith (1991), a reformulation of the regression as in Jegadeesh (1990), and a vector autoregression (VAR) as in Campbell and Shiller (1988), Kandel and Stambaugh (1988), and Campbell (1991). The statistical properties of long-horizon statistics generated from the VAR indicate interesting patterns in expected stock returns.

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Research works printed but not linked: 26

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Metadata

Authors
Hodrick, R. J.
Affiliations
Northwestern University (US)
Corresponding author
Hodrick, Robert J.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
1992-07
Volume
5
Issue
3
Pages
357-386
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/5.3.351
OpenAlex
W3124485385
Cited by
1,523
References
0
Citations by year
2026: 38 · 2025: 40 · 2024: 32 · 2023: 38 · 2022: 42 · 2021: 60 · 2020: 53 · 2019: 52 · 2018: 61 · 2017: 57 · 2016: 54 · 2015: 71 · 2014: 64 · 2013: 70 · 2012: 69
FWCI
24.34
Type
journal article
Language
en
Open access
closed
Locations
Review of Financial Studies (publishedVersion)
Topics
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
  • Social Sciences › Business, Management and Accounting › Accounting › Financial Analysis and Corporate Governance
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
Keywords
dividend yield, expected stock returns, long-term forecasting, vector autoregression, dividend discount model

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CoChat. (2026). Citation check: Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement. https://app.cochat.ai/papers/10.1093/rfs/5.3.351
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Hodrick, R. J. (1992). Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement. Review of Financial Studies. https://doi.org/10.1093/rfs/5.3.351