The DOI matches its Crossref record; 51 of the 51 references it cites were found in a registry or an index.
Stock Return Predictability: Is it There?
Abstract
We examine the predictive power of the dividend yields for forecasting excess returns, cash flows, and interest rates. Dividend yields predict excess returns only at short horizons together with the short rate and do not have any long-horizon predictive power. At short horizons, the short rate strongly negatively predicts returns. These results are robust in international data and are not due to lack of power. A present value model that matches the data shows that discount rate and short rate movements play a large role in explaining the variation in dividend yields. Finally, we find that earnings yields significantly predict future cash flows. (JEL C12, C51, C52, E49, F30, G12)
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Cites
Testing for a unit root in time series regression
PHILLIPS, P. C. B., & PERRON, P. (1988) · Biometrika · doi:10.1093/biomet/75.2.335 · Cited by 19,155
Newey, W. K., & West, K. D. (1987) · Econometrica · doi:10.2307/1913610 · Cited by 16,936
Large Sample Properties of Generalized Method of Moments Estimators
Hansen, L. P. (1982) · Econometrica · doi:10.2307/1912775 · Cited by 13,467
Testing the null hypothesis of stationarity against the alternative of a unit root
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90104-y · Cited by 12,633
The Science of Monetary Policy: A New Keynesian Perspective
Clarida, R., Galí, J., & Gertler, M. (1999) · Journal of Economic Literature · doi:10.1257/jel.37.4.1661 · Cited by 4,916
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
Bansal, R., & Yaron, A. (2004) · The Journal of Finance · doi:10.1111/j.1540-6261.2004.00670.x · Cited by 4,242
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
Campbell, J. Y., & Shiller, R. J. (1988) · Review of Financial Studies · doi:10.1093/rfs/1.3.195 · Cited by 3,774
Dividend yields and expected stock returns
Fama, E. F., & French, K. R. (1988) · Journal of Financial Economics · doi:10.1016/0304-405x(88)90020-7 · Cited by 3,556
Fama, E. F., & Schwert, G. W. (1977) · Journal of Financial Economics · doi:10.1016/0304-405x(77)90014-9 · Cited by 2,687
Stock returns and the term structure
Campbell, J. Y. (1987) · Journal of Financial Economics · doi:10.1016/0304-405x(87)90045-6 · Cited by 2,249
Cited by
Predicting excess stock returns out of sample: Can anything beat the historical average?
Campbell, J. Y., & Thompson, S. B. (2008) · Review of Financial Studies · doi:10.1093/rfs/hhm055 · Cited by 2,919
Credit spreads and business cycle fluctuations
Gilchrist, S., & Zakrajšek, E. (2012) · American Economic Review · doi:10.1257/aer.102.4.1692 · Cited by 2,213
The Dog That Did Not Bark: A Defense of Return Predictability
Cochrane, J. H. (2008) · Review of Financial Studies · doi:10.1093/rfs/hhm046 · Cited by 1,227
Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
Huang, D., Jiang, F., Tu, J., & Zhou, G. (2015) · Review of Financial Studies · doi:10.1093/rfs/hhu080 · Cited by 1,123
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
Phillips, P. C. B., Shi, S., & Yu, J. (2015) · International Economic Review · doi:10.1111/iere.12132 · Cited by 1,118
Metadata
- Authors
- Ang, A., & Bekaert, G.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2006-07-06
- Volume
- 20
- Issue
- 3
- Pages
- 651-707
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2914489443
- Cited by
- 1,295
- References
- 51
- FWCI
- 77.20
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
